A finite difference method for a boundary value problem related to the Kolmogorov equation

DOI10.1007/BF02575835MaRDI QIDQ1373472zbMATH OpenOpenAlexFDO

Authors C. Mogavero, Sergio Polidoro

Publication date 6 July 1998

Published in Calcolo (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02575835

zbMATH Keywords

consistencyconvergencestabilityfinite difference methodKolmogorov equation

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Finite difference methods for boundary value problems involving PDEs (65N06) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12)

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Cites work

• scientific article; zbMATH DE number 3125480 (Why is no real title available?)
• scientific article; zbMATH DE number 3743760 (Why is no real title available?)
• scientific article; zbMATH DE number 721958 (Why is no real title available?)
• Hypoelliptic second order differential equations
• Solution of the Fokker-Planck-Kolmogorov equation by the method of finite differences

Cited in

(9)

• Analysis of an uncertain volatility model
• SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
• A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model
• Numerical hypocoercivity for the Kolmogorov equation
• Hypocoercivity-compatible finite element methods for the long-time computation of Kolmogorov's equation
• A finite element approximation for a class of degenerate elliptic equations
• Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type
• A study of the Kuramoto model for synchronization phenomena based on degenerate Kolmogorov-Fokker-Planck equations
• Numerical solution to the Kolmogorov-Feller equation

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