Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance (Q5470322)
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scientific article; zbMATH DE number 5029095
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance |
scientific article; zbMATH DE number 5029095 |
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Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance (English)
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30 May 2006
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Fokker-Planck equations
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discontinuous Galerkin discretization in time
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wavelet discretization in space
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numerical experiments
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Markov processes with jumps
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error analysis
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discontinuous Lévy processes
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finance
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