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
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