Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation

DOI10.1007/s10543-021-00863-2zbMath1493.65019arXiv2001.05531OpenAlexW3157082205WikidataQ115384180 ScholiaQ115384180MaRDI QIDQ2665547

Yanyan Li

Publication date: 19 November 2021

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.05531

zbMATH Keywords

integro-differential equationsFeynman-Kac formulajump processesweak approximation of stochastic differential equationsSDEs driven by Lévy processes

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Integro-partial differential equations (35R09)

Related Items (2)

Consensus-based optimization via jump-diffusion stochastic differential equations ⋮ Monte Carlo method for parabolic equations involving fractional Laplacian

Cites Work

• Jump-adapted discretization schemes for Lévy-driven SDEs
• On Cauchy-Dirichlet problem in half-space for linear integro-differential equations in weighted Hölder spaces
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• Optimal simulation schemes for Lévy driven stochastic differential equations
• Adaptive Weak Approximation of Diffusions with Jumps
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• The Simplest Random Walks for the Dirichlet Problem
• Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
• Financial Modelling with Jump Processes
• Weak Euler Scheme for Lévy-Driven Stochastic Differential Equations
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