3 papers
cs.CE2016
Numerical solution of a parabolic system in air pollution
Tatiana P. Chernogorova, Lubin G. Vulkov
An air pollution model is generally described by a system of PDEs on unbounded domain. Transformation of the independent variable is used to convert the problem for nonlinear air p…
math.NA2013
Positive Splitting Method for the Hull & White 2D Black-Scholes Equation
T. Chernogorova, R. Valkov
In this paper we present a locally one-dimensional (LOD) splitting method to solve numerically the two-dimensional Black-Scholes equation, arising in the Hull & White model for pri…
math.NA2013
Finite Volume Difference Scheme for a Degenerate Parabolic Equation in the Zero-Coupon Bond Pricing
T. Chernogorova, R. Valkov
In this paper we solve numerically a degenerate parabolic equation with dynamical boundary conditions of zero-coupon bond pricing. First, we discuss some properties of the differen…