On numerical density approximations of solutions of SDEs with unbounded coefficients
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Publication:723733
DOI10.1007/s10444-017-9558-4zbMath1393.60075arXiv1506.05576OpenAlexW2963910708MaRDI QIDQ723733
Espen R. Jakobsen, Arvid Naess, Linghua Chen
Publication date: 24 July 2018
Published in: Advances in Computational Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1506.05576
convergencenumerical methodstochastic differential equationsprobability densitypath integrationdensity trackingsemigroup generation
Markov semigroups and applications to diffusion processes (47D07) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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On the Discretization of Some Nonlinear Fokker--Planck--Kolmogorov Equations and Applications ⋮ Adaptive density tracking by quadrature for stochastic differential equations ⋮ Chernoff approximation of subordinate semigroups ⋮ \(L^{1}\) semigroup generation for Fokker-Planck operators associated to general Lévy driven sdes ⋮ Artificial viscosity joint spacetime multigrid method for Hamilton-Jacobi-Bellman and Kolmogorov-Fokker-Planck system arising from mean field games ⋮ Chernoff approximation for semigroups generated by killed Feller processes and Feynman formulae for time-fractional Fokker-Planck-Kolmogorov equations
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