Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation

DOI10.1016/J.AMC.2016.08.050MaRDI QIDQ1734297zbMATH OpenOpenAlexWikidataFDO

Authors B. Gaviraghi, M. Annunziato, Alfio Borzì

Publication date 27 March 2019

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

Full work available at URL https://doi.org/10.1016/j.amc.2016.08.050

zbMATH Keywords

Chang-Cooperconvergence analysisFokker-Planck equationjump-diffusion processespartial integro-differential equationStrang-Marchuk splitting

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) Integro-partial differential equations (45K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cited in

(16)

• A Fokker-Planck control framework for stochastic systems
• A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
• An operator splitting scheme for the fractional kinetic Fokker-Planck equation
• Parameter identification and uncertainty quantification in stochastic state space models and its application to texture analysis
• A time-space spectral method for the time-space fractional Fokker-Planck equation and its inverse problem
• Splitting methods for Fokker-Planck equations related to jump-diffusion processes
• A Fokker-Planck based approach to control jump processes
• Calibration of Lévy processes using optimal control of Kolmogorov equations with periodic boundary conditions
• An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
• On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
• Stochastic particle transport by deep-water irregular breaking waves
• A multigrid scheme for solving convection-diffusion-integral optimal control problems
• The fundamental solution of the master equation for a jump-diffusion Ornstein-Uhlenbeck process
• Approximate solution of stochastic Allen-Cahn equation of fractional order using finite difference and RBF-based meshfree method
• A variable-step Crank-Nicolson and preconditioned fast quadratic spline collocation method for option pricing with jump-diffusion models
• Analysis of the Chang-Cooper discretization scheme for a class of Fokker-Planck equations

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