ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS

DOI10.1142/S0218202507002327zbMath1137.91446MaRDI QIDQ5386671

Walter Farkas, Christoph Schwab, Nils Reich

Publication date: 14 May 2008

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

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Microeconomic theory (price theory and economic markets) (91B24) Dirichlet forms (31C25) Numerical methods for wavelets (65T60)

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hp-DGFEM FOR KOLMOGOROV–FOKKER–PLANCK EQUATIONS OF MULTIVARIATE LÉVY PROCESSES, Lévy Copulas: Review of Recent Results, On Kolmogorov equations for anisotropic multivariate Lévy processes, Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces, Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models, Numerical methods for Lévy processes, A posteriori error analysis for a class of integral equations and variational inequalities, Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing, Approximate solutions to second order parabolic equations. I: Analytic estimates

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