A new method for solving Kolmogorov equations in mathematical finance (Q2363532): Difference between revisions

The authors summarize research into the Fokker-Plank and Kolmogorov equations with application to calibration and valuation of models in finance. They propose an approach that combines a localization method and a mesh-free technique. Through several numerical examples benchmarking accuracy and convergence, they show the advantages of their algorithm, dubbed CoDeFi.