Numerical solution to the Kolmogorov-Feller equation

被引：0
|
作者：
Baranov N.A. [1 ]
Turchak L.I. [1 ]
机构：
[1] Dorodnicyn Computing Center, Russian Academy of Sciences, Moscow 119991
来源：
Computational Mathematics and Mathematical Physics | 2007年 / 47卷 / 7期
基金：
俄罗斯基础研究基金会;
关键词：
Finite-difference method; Kolmogorov-Feller integro-differential equation; Stability of finite-difference scheme;
D O I：
10.1134/S0965542507070093
中图分类号：
学科分类号：
摘要：
A finite-difference method is proposed for solving the Kolmogorov-Feller integro-differential equation. The numerical scheme constructed is an unconditionally stable marching scheme, and the boundary conditions are determined on the basis of an explicit solution to the original equation at boundary points. © 2007 Pleiades Publishing, Ltd.
引用
收藏
页码：1171 / 1178
页数：7
相关论文
共 50 条
  • [31] Explicit solution of a Kolmogorov equation
    Harvard Univ, Cambridge, United States
    Appl Math Optim, 3 (231-266):
  • [32] Explicit solution of a Kolmogorov equation
    Yau, ST
    Yau, SST
    APPLIED MATHEMATICS AND OPTIMIZATION, 1996, 34 (03): : 231 - 266
  • [33] SOLUTION OF THE KOLMOGOROV EQUATION FOR TASEP
    Nica, Mihai
    Quastel, Jeremy
    Remenik, Daniel
    ANNALS OF PROBABILITY, 2020, 48 (05): : 2344 - 2358
  • [34] Direct local boundary integral equation method for numerical solution of extended Fisher–Kolmogorov equation
    Mohammad Ilati
    Mehdi Dehghan
    Engineering with Computers, 2018, 34 : 203 - 213
  • [35] Numerical Simulation of Feller's Diffusion Equation
    Dutykh, Denys
    MATHEMATICS, 2019, 7 (11)
  • [36] Direct local boundary integral equation method for numerical solution of extended Fisher-Kolmogorov equation
    Ilati, Mohammad
    Dehghan, Mehdi
    ENGINEERING WITH COMPUTERS, 2018, 34 (01) : 203 - 213
  • [37] ON THE SOLUTION OF THE FOKKER-PLANCK EQUATION FOR A FELLER PROCESS
    SACERDOTE, L
    ADVANCES IN APPLIED PROBABILITY, 1990, 22 (01) : 101 - 110
  • [38] An efficient numerical method for the generalised Kolmogorov equation
    Gatti, Davide
    Remigi, Alberto
    Chiarini, Alessandro
    Cimarelli, Andrea
    Quadrio, Maurizio
    JOURNAL OF TURBULENCE, 2019, 20 (08): : 457 - 480
  • [39] On the fundamental solution of the Kolmogorov-Shiryaev equation
    Peskir, G
    FROM STOCHASTIC CALCULUS TO MATHEMATICAL FINANCE: THE SHIRYAEV FESTSCHRIFT, 2006, : 535 - 546
  • [40] On the fundamental solution of the Fokker–Planck–Kolmogorov equation
    A. G. Chechkin
    A. S. Shamaev
    Doklady Mathematics, 2017, 95 : 55 - 59
12345