Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation
(2021)
Journal Article
Deligiannidis, G., Maurer, S., & Tretyakov, M. V. (2021). Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation. BIT Numerical Mathematics, 61(4), 1223-1269. https://doi.org/10.1007/s10543-021-00863-2
We consider stochastic differential equations driven by a general Lévy processes (SDEs) with infinite activity and the related, via the Feynman–Kac formula, Dirichlet problem for parabolic integro-differential equation (PIDE). We approximate the solu... Read More about Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation.