Files

Abstract

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

Actions