Numerical methods for SPDEs with tempered stable processes
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Fokker-Planck equations (35Q84) Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60) Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) White noise theory (60H40) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
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Cites work
- A Representation of Independent Increment Processes without Gaussian Components
- A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
- Adaptive multi-element polynomial chaos with discrete measure: algorithms and application to SPDEs
- Anticipative calculus for Lévy processes and stochastic differential equations*
- Approximations of small jumps of Lévy processes with a view towards simulation
- Calculation of Gauss Quadrature Rules
- Construction of Gauss-Christoffel Quadrature Formulas
- Financial Modelling with Jump Processes
- Finite difference approximations for fractional advection-dispersion flow equations
- Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
- Generalized Fokker-Planck equation: derivation and exact solutions
- Handbook of stochastic methods for physics, chemistry and the natural sciences.
- High-Order Collocation Methods for Differential Equations with Random Inputs
- scientific article; zbMATH DE number 1639863 (Why is no real title available?)
- scientific article; zbMATH DE number 3954145 (Why is no real title available?)
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- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3220189 (Why is no real title available?)
- Infinite dimensional analysis of pure jump Lévy processes on the Poisson space
- Long-term behavior of polynomial chaos in stochastic flow simulations
- Monte Carlo option pricing for tempered stable (CGMY) processes
- Noise-induced transitions. Theory and applications in physics, chemistry, and biology
- Numerical solution of stochastic differential equations with jumps in finance
- On Generating Orthogonal Polynomials
- On series representations of infinitely divisible random vectors
- On simulation from infinitely divisible distributions
- Spectral Methods for Time-Dependent Problems
- Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
- Statistical Analysis of Financial Data in S-Plus
- Stochastic Differential Equations in a Differentiable Manifold
- Stochastic models for fractional calculus
- Stochastic partial differential equations driven by Lévy space-time white noise.
- Stochastic partial differential equations driven by multi-parameter white noise of Lévy processes
- Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
- Stochastic Volatility for Lévy Processes
- Tempered stable Lévy motion and transient super-diffusion
- Tempering stable processes
- The Fokker-Planck equation. Methods of solution and applications.
- The Kolmogorov-Smirnov Test for Goodness of Fit
- White noise analysis for Lévy processes.
- White noise of Poisson random measures
Cited in
(11)- Stability and convergence of the Crank-Nicolson scheme for a class of variable-coefficient tempered fractional diffusion equations
- A preconditioning technique for all-at-once system from the nonlinear tempered fractional diffusion equation
- On CSCS-based iteration method for tempered fractional diffusion equations
- A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
- TFPDE
- A matrix splitting preconditioning method for solving the discretized tempered fractional diffusion equations
- Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations
- Lévy backward SDE filter for jump diffusion processes and its applications in material sciences
- Humbert generalized fractional differenced ARMA processes
- The implicit midpoint method for Riesz tempered fractional diffusion equation with a nonlinear source term
- A Crank-Nicolson ADI compact difference scheme for the two-dimensional tempered space-fractional diffusion equation
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