Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation
(2021)
Journal Article
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.