hp-DGFEM FOR KOLMOGOROV–FOKKER–PLANCK EQUATIONS OF MULTIVARIATE LÉVY PROCESSES

DOI10.1142/S0218202512005897zbMath1252.65214MaRDI QIDQ2891185

Oleg Reichmann, Christoph Schwab, Daniele Marazzina

Publication date: 13 June 2012

Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)

zbMATH Keywords

option pricingnumerical experimentserror analysisdiscontinuous Galerkin methodsDirichlet formsGalerkin finite element methodspure jump processesFeller-Lévy processesLévy copulasnonlocal degenerate integrodifferential equationsregularization of hypersingular integrals

Mathematics Subject Classification ID

Related Items (4)

Optimal impulse control of a portfolio with a fixed transaction cost ⋮ A Flexible Galerkin Scheme for Option Pricing in Lévy Models ⋮ High order splitting schemes with complex timesteps and their application in mathematical finance ⋮ CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS

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