Parabolic fully nonlinear equations may be found in various applications, for instance in optimal portfolio management strategy. A numerical method for the approximation of a canonical parabolic Monge-Ampère equation is investigated in this work. A second order semi-implicit time-stepping method is presented, coupled to safeguarded Newton iterations A low order finite element method is used for space discretization. Numerical experiments exhibit appropriate convergence orders and a robust behavior.
Details
Title
A second order time integration method for the approximation of a parabolic 2D Monge-Ampère equation
Author(s)
Caboussat, Alexandre (Haute école de gestion de Genève, HES-SO Haute Ecole Spécialisée de Suisse Occidentale) Gourzoulidis, Dimitrios (Haute école de gestion de Genève, HES-SO Haute Ecole Spécialisée de Suisse Occidentale ; Ecole Polytechnique Fédérale de Lausanne, Switzerland)
Date
2019-09
Published in
Proceedings of the European numerical mathematics and advanced applications conference 2019
Publisher
Egmond aan Zee, The Netherlands, 30 September - 4 October 2019
Pagination
8 p.
Presented at
European Numerical Mathematics and Advanced Applications Conference 2019, Egmond aan Zee, The Netherlands, 2019-09-30, 2019-10-04
ISBN
978-3-030-55873-4
Paper type
published full paper
Faculty
Economie et Services
School
HEG - Genève
Institute
CRAG - Centre de Recherche Appliquée en Gestion