Splitting Methods for Fokker-Planck Equations Related to Jump-Diffusion Processes

DOI10.1007/978-3-319-61282-9_22zbMath1456.65066OpenAlexW2755452477MaRDI QIDQ4626515

B. Gaviraghi, Alfio Borzì, Mario Annunziato

Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_22

zbMATH Keywords

jump-diffusion processespartial integro-differential Fokker-Planck equations

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) 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) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) PDEs with randomness, stochastic partial differential equations (35R60) Integro-partial differential equations (35R09) Fokker-Planck equations (35Q84) Jump processes on discrete state spaces (60J74)

Uses Software

• Mulprec

Cites Work

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