Probability-conservative simulation for \textit{Lévy} financial model by a mixed finite element method
DOI10.1016/J.CAMWA.2021.12.007OpenAlexW4200475332MaRDI QIDQ2074132FDOQ2074132
Feng Wang, Huanzhen Chen, Jing Chen
Publication date: 4 February 2022
Published in: Computers & Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2021.12.007
inf-sup conditionfractional advection diffusion equationexpanded mixed finite element methodprobability conservative simulationsolvability and convergence\textit{Lévy} financial model
Fractional derivatives and integrals (26A33) Fractional partial differential equations (35R11) 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) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)
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