Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation
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convergence analysisFokker-Planck equationpartial integro-differential equationjump-diffusion processesChang-CooperStrang-Marchuk splitting
Integro-partial differential equations (45K05) Fokker-Planck equations (35Q84) 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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Cites work
- scientific article; zbMATH DE number 5145313 (Why is no real title available?)
- scientific article; zbMATH DE number 107642 (Why is no real title available?)
- scientific article; zbMATH DE number 3560404 (Why is no real title available?)
- scientific article; zbMATH DE number 473351 (Why is no real title available?)
- scientific article; zbMATH DE number 540807 (Why is no real title available?)
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Cited in
(15)- 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
- Analysis of the Chang-Cooper discretization scheme for a class of Fokker-Planck equations
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- The fundamental solution of the master equation for a jump-diffusion Ornstein-Uhlenbeck process
- A multigrid scheme for solving convection-diffusion-integral optimal control problems
- Splitting methods for Fokker-Planck equations related to jump-diffusion processes
- Parameter identification and uncertainty quantification in stochastic state space models and its application to texture analysis
- Stochastic particle transport by deep-water irregular breaking waves
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- A Fokker-Planck control framework for stochastic systems
- A Fokker-Planck based approach to control jump processes
- Approximate solution of stochastic Allen-Cahn equation of fractional order using finite difference and RBF-based meshfree method
- A time-space spectral method for the time-space fractional Fokker-Planck equation and its inverse problem
- Calibration of Lévy processes using optimal control of Kolmogorov equations with periodic boundary conditions
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