Asymptotic high-order schemes for integro-differential problems arising in markets with jumps
The authors discuss a semi-discrete finite difference approximation for the space variable. They use the analysis of the time-asymptotic behavior of the solution to the Cauchy problem \[ \begin{cases} \frac{\partial u}{\partial t}+ a \frac{\partial u}{\partial x}=\gamma (K*u-a), \\ u(x,0)=u_0(x). \end{cases}, \] where the convolution kernel verifies \( K \geq 0,\,\, \int_{-\infty}^{\infty} K(x) dx =1, \,\, K(-x)=K(x).\) They design high-order numerical schemes for large time regimes, these schemes are consistent with this behavior. The authors only consider the case where the asymptotic states are described by stationary solutions. Numerical tests are presented to investigate the efficiency and the accuracy of this approximations.
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