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Using Chebyshev Polynomials to Approximate Partial Differential Equations: A Reply

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Abstract

Caporale and Cerrato (Comput Econ 35(3):235–244, 2010) propose a simple method based on Chebyshev approximation and Chebyshev nodes to approximate partial differential equations (PDEs). However, they suggest not to use Chebyshev nodes when dealing with optimal stopping problems. Here, we use the same optimal stopping example to show that Chebyshev polynomials and Chebyshev nodes can still be successfully used together if we solve the model in a matrix environment.

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Authors and Affiliations

  1. IREGE, Université de Savoie, 4 Chemin de Bellevue, BP 80439, 74944, Annecy le Vieux, France

    Alejandro Mosiño

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  1. Alejandro Mosiño
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Correspondence to Alejandro Mosiño.

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Mosiño, A. Using Chebyshev Polynomials to Approximate Partial Differential Equations: A Reply. Comput Econ 39, 13–27 (2012). https://doi.org/10.1007/s10614-010-9222-2

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  • DOI: https://doi.org/10.1007/s10614-010-9222-2

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