Transient numerical approximation of hyperbolic diffusions and beyond

DOI10.1016/J.CAM.2022.114893MaRDI QIDQ2104070zbMATH OpenOpenAlexWikidataFDO

Authors G. M. Leonenko, T. N. Phillips

Publication date 9 December 2022

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.cam.2022.114893

zbMATH Keywords

Fokker-Planck equationhyperbolic diffusionsproper generalized decompositionspectral approximation

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Brownian motion (60J65) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)

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• High-order approximation of Pearson diffusion processes
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• Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients
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• The Variance Gamma Process and Option Pricing

Cited in

(2)

• High-order approximation of Pearson diffusion processes
• Numerical approximation of invariant measures for hybrid diffusion systems

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