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Fast numerical solution of parabolic integro-differential equations with applications in finance. (English) Zbl 1098.65123

The authors analyze and implement a numerical scheme for the efficient numerical solution of Fokker Planck equations for Markov process with jumps. The discontinuous Galerkin discretization in time and a wavelet discretization in space are applied. An error analysis on the approximation is presented. The considered results by numerical experiments are illustrated. Moreover, applications to purely discontinuous Lévy processes arising in finance are given.

MSC:

65R20 Numerical methods for integral equations
45K05 Integro-partial differential equations
60J75 Jump processes (MSC2010)
65T60 Numerical methods for wavelets
91G60 Numerical methods (including Monte Carlo methods)
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