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arXiv 1012.0523math.AP
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(微)亚椭圆和半椭圆型方程中密度的局部解析展开

On local analytic expansions of densities in the context of (micro-)hypoelliptic and classes of semi-elliptic equations

Joerg Kampen

摘要:

线性抛物型偏微分方程的密度的显式表示对于设计相当一类扩散模型的高精度计算格式是有用的。为了计算利率市场的标准模型中的希腊人,已经使用了基于WKB展开的低阶近似(参见:[2])。然而,事实证明,对于高阶近似,另一个相关的扩展导致更准确的计划。我们计算了一类抛物型问题的局部显式公式,并确定了它成立的时间范围的下界(给定一定的有界区域)。虽然局部解析展开式只适用于严格的椭圆型方程,但我们证明了这些展开式可以用于设计各种类型的(微)亚椭圆和半椭圆型方程的高阶格式,例如[7]中考虑的约化市场模型或多元美式衍生品的前沿固定格式[3]。

英文摘要:

Explicit representations of densities for linear parabolic partial differential equations are useful in order to design computation schemes of high accuracy for a considerable class of diffusion models. Approximations of lower order based on the WKB-expansion have been used in order to compute Greeks in standard models of the interest rate market (cf. [2]). However, it turns out that for higher order approximations another related expansion leads to more accurate schemes. We compute a local explicit formula for a class of parabolic problems and determine a lower bound of the time horizon where it holds (given a certain bounded domain). Although the local analytic expansions hold only for strictly elliptic equations we show that the expansions can be used in order to design higher order schemes for various types of (micro)-hypoelliptic and semi-elliptic equations, e.g. the reduced market models considered in [7] or front fixing schemes for multivariate American derivatives [3].

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