High-order approximation of Pearson diffusion processes
DOI10.1016/j.cam.2012.01.022zbMath1241.65014MaRDI QIDQ413731
G. M. Leonenko, Timothy N. Phillips
Publication date: 7 May 2012
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2012.01.022
stochastic differential equations; Fokker-Planck equations; spectral approximation; financial mathematics; reduced basis; pricing options; Pearson diffusions
91G60: Numerical methods (including Monte Carlo methods)
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs
35R60: PDEs with randomness, stochastic partial differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
