Using Chebyshev Polynomials to Approximate Partial Differential Equations: A Reply |
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Authors: | Alejandro Mosi?o |
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Affiliation: | (1) School of Mechanical Engineering and Automation, Northeastern University, Shenyang, 110819, People’s Republic of China |
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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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