PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Victor Nistor, Anna Mazzucato, Manfred Denker.

Title:Short time symptotics for solutions of parabolic equations
Seminar:Probability and Financial Mathematics Seminar
Speaker:Victor Nistor, Penn State Math
Abstract:
I will present a new method to solve parabolic equations. The method is based on short time asymptotics for the solution and a bootstrap procedure to extend this approximation to larger times. Our main applications are to the equations that arise in Finance, but this method can be in principle applied to any evolution equation. One of the technical advances that makes this method work is an approximate computation of the perturbative integrals (Dyson series) that were widely studied in Physics. The method is unconditionally stable and numerical tests show that it is very efficient. The results presented in my talk are joint work with W. Cheng, R. Constantinescu, N. Costanzino, J. Liechty, and A. Mazzucato.

Room Reservation Information

Room Number:MB106
Date:11 / 06 / 2012
Time:01:20pm - 02:20pm