Asymptotic high-order schemes for integro-differential problems arising in markets with jumps

DOI10.4310/CMS.2006.V4.N1.A3zbMath1104.65121MaRDI QIDQ2496604

Roberto Natalini, Maya Briani

Publication date: 11 July 2006

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

zbMATH Keywords

integro-differential equationsCauchy problemnumerical examplessemidiscretizationfinite difference methodsjump processes

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Auctions, bargaining, bidding and selling, and other market models (91B26)

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