On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance

Wansheng Wang, Yingzi Chen, Hua Fang. On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance. SIAM J. Numerical Analysis, 57(3):1289-1317, 2019. [doi]

Abstract

Abstract is missing.