Splitting methods for Fokker-Planck equations related to jump-diffusion processes

DOI10.1007/978-3-319-61282-9_22MaRDI QIDQ4626515zbMATH OpenOpenAlexFDO

Authors B. Gaviraghi, M. Annunziato, Alfio Borzì

Publication date 28 February 2019

Published in Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-61282-9_22

zbMATH Keywords

jump-diffusion processespartial integro-differential Fokker-Planck equations

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) Integro-partial differential equations (35R09) PDEs with randomness, stochastic partial differential equations (35R60) Integro-partial differential equations (45K05) Jump processes on discrete state spaces (60J74) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cites work

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Cited in

(5)

• Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation
• An operator splitting scheme for the fractional kinetic Fokker-Planck equation
• Strong Convergence for Split-Step Methods in Stochastic Jump Kinetics
• Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
• A Lifting Method for Fokker-Planck Equations with Drift-Admitting Jumps

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Uses Software

• Mulprec

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