Adaptive density tracking by quadrature for stochastic differential equations

DOI10.1016/j.amc.2022.127298OpenAlexW3161401108WikidataQ115361043 ScholiaQ115361043MaRDI QIDQ2152700

Ryleigh A. Moore, Akil C. Narayan

Publication date: 11 July 2022

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

Full work available at URL: https://arxiv.org/abs/2105.08148

zbMATH Keywords

numerical methodsstochastic differential equationsLeja points

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx) Approximations and expansions (41Axx)

Cites Work

• Unnamed Item
• A multiscale/stabilized finite element method for the advection-diffusion equation
• On numerical density approximations of solutions of SDEs with unbounded coefficients
• Solution of Fokker-Planck equation by finite element and finite difference methods for nonlinear systems
• Numerical solution of stochastic differential equations with jumps in finance
• The Fokker-Planck equation. Methods of solution and applications.
• A new path integration procedure based on Gauss-Legendre scheme
• The path integral approach to financial modeling and options pricing
• A transformed path integral approach for solution of the Fokker-Planck equation
• Parameter inference for stochastic differential equations with density tracking by quadrature
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Fast and accurate pricing of discretely monitored barrier options by numerical path integration
• Weakly Admissible Meshes and Discrete Extremal Sets
• Computing Multivariate Fekete and Leja Points by Numerical Linear Algebra
• Geometric weakly admissible meshes, discrete least squares approximations and approximate Fekete points
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS
• Sur certaines suites liées aux ensembles plans et leur application à la représentation conforme
• A finite element method for the statistics of non-linear random vibration
• Numerical solution of the Fokker Planck equation using moving finite elements
• On the reliability of the linear oscillator and systems of coupled oscillators
• Numerical Solution of the Four-Dimensional Nonstationary Fokker-Planck Equation
• Adaptive Finite Element Method Assisted by Stochastic Simulation of Chemical Systems
• Adaptive Leja Sparse Grid Constructions for Stochastic Collocation and High-Dimensional Approximation
• Solving Fokker-Planck equation using deep learning
• Numerical Solution of the Fokker–Planck Equation by Finite Difference and Finite Element Methods—A Comparative Study