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Finite difference for 2nd order PDE

  1. Sep 3, 2009 #1
    I need to solve the following PDE:
    [tex]\frac{1}{2}F_{\eta \eta }\sigma _{\eta }^{2}\eta ^{2}+\frac{1}{2}F_{pp}\sigma _{p}^{2}+F_{p}k(m-p)+F_{\eta }a\eta -rF=0 \label{6}[/tex] where p goes from minus to plus infinity and eta goes from zero to plus infinity.

    Here p and eta are state variables and all other variables are constants. I only have initial condition that F(p.0)=F(p), and I can calculate F(p). I am trying to solve this equation using finite difference with no luck. I am wondering if this can be solved at all using finite difference?
  2. jcsd
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