Numerical Methods for SPDEs with Tempered Stable Processes

DOI10.1137/140966083zbMath1320.65020OpenAlexW1608762139MaRDI QIDQ5254701

Mengdi Zheng, George Em. Karniadakis

Publication date: 10 June 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/0970605cee44e15b23a85021e1caa79f9793368d

zbMATH Keywords

Fokker-Planck equationwhite noisegeneralized polynomial chaostempered fractional PDE

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) White noise theory (60H40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Fractional partial differential equations (35R11) Fokker-Planck equations (35Q84) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Related Items

Stability and convergence of the Crank-Nicolson scheme for a class of variable-coefficient tempered fractional diffusion equations, On CSCS-based iteration method for tempered fractional diffusion equations, A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation, A matrix splitting preconditioning method for solving the discretized tempered fractional diffusion equations, Humbert generalized fractional differenced ARMA processes, The implicit midpoint method for Riesz tempered fractional diffusion equation with a nonlinear source term, Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences, A preconditioning technique for all-at-once system from the nonlinear tempered fractional diffusion equation, TFPDE

Uses Software

• R
• MASS (R)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• White noise of Poisson random measures
• Noise-induced transitions. Theory and applications in physics, chemistry, and biology
• Tempered stable Lévy motion and transient super-diffusion
• Tempering stable processes
• On series representations of infinitely divisible random vectors
• Generalized Fokker-Planck equation: derivation and exact solutions
• Numerical solution of stochastic differential equations with jumps in finance
• Long-term behavior of polynomial chaos in stochastic flow simulations
• The Fokker-Planck equation. Methods of solution and applications.
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• White noise analysis for Lévy processes.
• Stochastic partial differential equations driven by Lévy space-time white noise.
• Finite difference approximations for fractional advection-dispersion flow equations
• Monte Carlo option pricing for tempered stable (CGMY) processes
• Adaptive multi-element polynomial chaos with discrete measure: algorithms and application to SPDEs
• Approximations of small jumps of Lévy processes with a view towards simulation
• Statistical Analysis of Financial Data in S-Plus
• Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
• Spectral Methods for Time-Dependent Problems
• Stochastic partial differential equations driven by multi-parameter white noise of Lévy processes
• On Generating Orthogonal Polynomials
• On simulation from infinitely divisible distributions
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Stochastic Volatility for Lévy Processes
• Financial Modelling with Jump Processes
• Anticipative calculus for Lévy processes and stochastic differential equations^*
• Infinite dimensional analysis of pure jump Lévy processes on the Poisson space
• High-Order Collocation Methods for Differential Equations with Random Inputs
• Calculation of Gauss Quadrature Rules
• Construction of Gauss-Christoffel Quadrature Formulas
• A Representation of Independent Increment Processes without Gaussian Components
• Stochastic Differential Equations in a Differentiable Manifold
• The Kolmogorov-Smirnov Test for Goodness of Fit
• Stochastic models for fractional calculus
• A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
• Handbook of stochastic methods for physics, chemistry and the natural sciences.