A comparison of numerical solutions of fractional diffusion models in finance
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Publication:1036770
DOI10.1016/j.nonrwa.2008.10.066zbMath1180.91308OpenAlexW2048671186MaRDI QIDQ1036770
Publication date: 13 November 2009
Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.nonrwa.2008.10.066
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Fractional partial differential equations (35R11)
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