Asymptotic expansions for degenerate parabolic equations

none3We prove asymptotic convergence results for some analytical expansions of solutions of degenerate PDEs with applications to financial mathematics. In particular, we combine short-time and global-in-space error estimates, previously obtained in the uniformly parabolic case, with some a priori bounds on “short cylinders” and we achieve short-time asymptotic convergence of the approximate solution in the degenerate parabolic case.mixedAndrea Pascucci; Stefano PagliaraniAndrea Pascucci; Stefano Pagliaran