Probability-conservative simulation for \textit{Lévy} financial model by a mixed finite element method
DOI10.1016/j.camwa.2021.12.007OpenAlexW4200475332MaRDI QIDQ2074132
Feng Wang, Jing Chen, Huan-Zhen Chen
Publication date: 4 February 2022
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2021.12.007
inf-sup conditionfractional advection diffusion equationexpanded mixed finite element method\textit{Lévy} financial modelprobability conservative simulationsolvability and convergence
Fractional derivatives and integrals (26A33) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Fractional partial differential equations (35R11)
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