hp-DGFEM FOR KOLMOGOROV–FOKKER–PLANCK EQUATIONS OF MULTIVARIATE LÉVY PROCESSES

DOI10.1142/S0218202512005897zbMath1252.65214MaRDI QIDQ2891185

Oleg Reichmann, Christoph Schwab, Daniele Marazzina

Publication date: 13 June 2012

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

zbMATH Keywords

option pricingnumerical experimentserror analysisdiscontinuous Galerkin methodsDirichlet formsGalerkin finite element methodspure jump processesFeller-Lévy processesLévy copulasnonlocal degenerate integrodifferential equationsregularization of hypersingular integrals

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Microeconomic theory (price theory and economic markets) (91B24) Diffusion processes (60J60)

Related Items (4)

Optimal impulse control of a portfolio with a fixed transaction cost ⋮ A Flexible Galerkin Scheme for Option Pricing in Lévy Models ⋮ High order splitting schemes with complex timesteps and their application in mathematical finance ⋮ CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS

Cites Work

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