A fast and accurate numerical method for symmetric Lévy processes based on the Fourier transform and sinc-Gauss sampling formula

DOI10.1093/imanum/drv038zbMath1433.65013arXiv1408.0157OpenAlexW2135088212MaRDI QIDQ4683725

Ken'ichiro Tanaka

Publication date: 26 September 2018

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.0157

zbMATH Keywords

Lévy processKolmogorov forward equationnonuniform FFTfractional FFTsinc-Gauss sampling formula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Computational methods for problems pertaining to probability theory (60-08) Numerical methods for discrete and fast Fourier transforms (65T50) Numerical solutions to stochastic differential and integral equations (65C30)

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