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Finite-difference and finite-element solution of boundary value and obstacle problems for the Heston operator
Descriptive
TitleInfo
Title
Finite-difference and finite-element solution of boundary value and obstacle problems for the Heston operator
Name
(type = personal)
NamePart
(type = family)
Osorio Triana
NamePart
(type = given)
Eduardo
NamePart
(type = date)
1978-
DisplayForm
Eduardo Osorio Triana
Role
RoleTerm
(authority = RULIB)
author
Name
(type = personal)
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(type = family)
Feehan
NamePart
(type = given)
Paul
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Paul Feehan
Affiliation
Advisory Committee
Role
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chair
Name
(type = personal)
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Falk
NamePart
(type = given)
Richard
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Richard Falk
Affiliation
Advisory Committee
Role
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internal member
Name
(type = personal)
NamePart
(type = family)
Han
NamePart
(type = given)
Zhen-Chao
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Zhen-Chao Han
Affiliation
Advisory Committee
Role
RoleTerm
(authority = RULIB)
internal member
Name
(type = personal)
NamePart
(type = family)
Florescu
NamePart
(type = given)
Ionut
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Ionut Florescu
Affiliation
Advisory Committee
Role
RoleTerm
(authority = RULIB)
outside member
Name
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NamePart
Rutgers University
Role
RoleTerm
(authority = RULIB)
degree grantor
Name
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NamePart
Graduate School - New Brunswick
Role
RoleTerm
(authority = RULIB)
school
TypeOfResource
Text
Genre
(authority = marcgt)
theses
OriginInfo
DateCreated
(qualifier = exact)
2014
DateOther
(qualifier = exact);
(type = degree)
2014-05
Place
PlaceTerm
(type = code)
xx
Language
LanguageTerm
(authority = ISO639-2b);
(type = code)
eng
Abstract
(type = abstract)
We develop fi nite-element and fi nite-diff erence methods for boundary value and obstacle problems for the elliptic Heston operator. For the fi nite-element method we fi rst review existence and uniqueness results for these problems on weighted Sobolev spaces, where their variational formulations are formulated, and fi nite-dimensional subspaces are chosen to fi nd approximating solutions, and obtain error estimates and numerical results. Similarly, for the fi nite-difference method, we start by reviewing the existence, uniqueness and regularity results on boundary value and obstacle problems on weighted H older spaces, then consider finite-difference operators, establish discrete maximum principles for them, and obtain error estimates and numerical results.
Subject
(authority = RUETD)
Topic
Mathematics
RelatedItem
(type = host)
TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier
(type = RULIB)
ETD
Identifier
ETD_5542
PhysicalDescription
Form
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electronic resource
InternetMediaType
application/pdf
InternetMediaType
text/xml
Extent
vii, 100 p. : ill.
Note
(type = degree)
Ph.D.
Note
(type = bibliography)
Includes bibliographical references
Note
(type = statement of responsibility)
by Eduardo Osorio
Subject
(authority = ETD-LCSH)
Topic
Finite differences
RelatedItem
(type = host)
TitleInfo
Title
Graduate School - New Brunswick Electronic Theses and Dissertations
Identifier
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rucore19991600001
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(displayLabel = Rutgers, The State University of New Jersey)
NjNbRU
Identifier
(type = doi)
doi:10.7282/T3HX1B0K
Genre
(authority = ExL-Esploro)
ETD doctoral
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Rights
RightsDeclaration
(ID = rulibRdec0006)
The author owns the copyright to this work.
RightsHolder
(type = personal)
Name
FamilyName
Osorio Triana
GivenName
Eduardo
Role
Copyright Holder
RightsEvent
Type
Permission or license
DateTime
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(qualifier = exact);
(point = start)
2014-04-16 16:46:29
AssociatedEntity
Name
Eduardo Osorio Triana
Role
Copyright holder
Affiliation
Rutgers University. Graduate School - New Brunswick
AssociatedObject
Type
License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
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Technical
RULTechMD
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ContentModel
ETD
OperatingSystem
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windows xp
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