报告题目：Convergence rates of moving mesh Rannacher methods for PDEs of Asian options pricing

报 告 人：马敬堂（博导，海归博士）西南财经大学、经济数学学院副院长

报告时间：2014年11月10日，下午3：30 - 4：30

报告地点：览秀楼105报告厅

报告摘要：

In this talk I will present the convergence rates of a moving mesh implicit finite difference method for partial differential equations (PDEs) with moving boundary arising in Asian option pricing. The moving mesh scheme is based on Rannacher time-stepping approach whose idea is running the implicit Euler schemes in the initial few steps and continuing with Crank-Nicolson schemes. With graded meshes for time direction and moving meshes for space direction, the fully discretized scheme is constructed using quadratic interpolation between two consecutive time level for the PDEs with moving boundary. The second-order convergence rates in both time and space are proved and numerical examples are carried out to confirm the theoretical results.