High-order approximation of Pearson diffusion processes

DOI10.1016/j.cam.2012.01.022zbMath1241.65014OpenAlexW2031963120MaRDI QIDQ413731

G. M. Leonenko, Timothy N. Phillips

Publication date: 7 May 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.01.022

zbMATH Keywords

stochastic differential equationsFokker-Planck equationsspectral approximationfinancial mathematicsreduced basispricing optionsPearson diffusions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients ⋮ Quantifying uncertainty with a derivative tracking SDE model and application to wind power forecast data ⋮ Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes ⋮ Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion ⋮ Transient numerical approximation of hyperbolic diffusions and beyond

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