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.
Reviewer: Lechoslaw Hącia (Poznań)
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) |