High-order approximation of Pearson diffusion processes

DOI10.1016/J.CAM.2012.01.022MaRDI QIDQ413731zbMATH OpenOpenAlexFDO

Authors G. M. Leonenko, T. 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

zbMATH Keywords

financial mathematicsFokker-Planck equationsPearson diffusionspricing optionsreduced basisspectral approximationstochastic differential equations

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Numerical methods (including Monte Carlo methods) (91G60)

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• Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients
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Cited in

(11)

• Quantifying uncertainty with a derivative tracking SDE model and application to wind power forecast data
• Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes
• Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
• Transient numerical approximation of hyperbolic diffusions and beyond
• Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
• Large deviations for the Pearson family of ergodic diffusion processes involving a quadratic diffusion coefficient and a linear force
• Enhancing accuracy for solving American CEV model with high-order compact scheme and adaptive time stepping
• Convergence properties of Markov models for image generation with applications to spin-flip dynamics and to diffusion processes
• Supersymmetric properties of one-dimensional reversible Markov generators with the links to Markov-dualities and to shape-invariance-exact-solvability
• Markov dualities via the spectral decompositions of the two Markov generators in their bi-orthogonal basis of right and left eigenvectors

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