Published March 6, 2020
| Version v1
Software
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Matlab Code: Backward differentiation formula finite difference schemes for diffusion equations with an obstacle term
Authors/Creators
- 1. Laboratoire Jacques-Louis Lions, Université de Paris (Paris Diderot) et ENSTA ParisTech
- 2. University of Southern Denmark, Department of Mathematics and Computer Science
Description
Matlab companion code to the manuscript "Backward differentiation formula finite difference schemes for diffusion equations with an obstacle term" by Olivier Bokanowski and Kristian Debrabant
"main.m" is the main file to generate the tables in the manuscript.
"newton.m" is used to solve min(Bx-b,x-g)=0.
"FileNameReference.txt" contains the file name containing the reference solution for the American option problem example considered in the manuscript. "American_BDF2+CN_HJB-0_N=20480_J=20479_FourthOrder-0_NewtonEps=1e-10_kmax=400.txt" contains the actual reference solution (first column x values, second column solution values). In case that "FileNameReference.txt" is missing, both files are automatically generated by "main.m".
Files
American_BDF2+CN_HJB-0_N=20480_J=20479_FourthOrder-0_NewtonEps=1e-10_kmax=400.txt
Additional details
Related works
- Is supplement to
- Preprint: arXiv:1802.05681 (arXiv)