O. E. Kudryavtsev, “Efficient numerical method for solving a special class of integro-differential equations connected with Levy models”, Mat. Model., 2011, Volume 23, Number 5,Pages <nobr>95

This article is cited in 9 papers

Efficient numerical method for solving a special class of integro-differential equations connected with Levy models

O. E. Kudryavtsev^ab

^a Southern Federal University, Department of Mathematics, Mechanics and Computer Science, Rostov-on-Don
^b Russian Customs Academy, Rostov Branch, Rostov-on-Don

Abstract: In the paper an efficient numerical method for solving a special class of partial integro-differential equations is developed. The problems under consideration arise in applications together with computation of the special functionals of Levy processes. The method is based on the efficient approximating Wiener–Hopf factorization and a numerical inversion of the Laplace transform.

Keywords: numerical methods, modelling, Levy processes, integro-differential equations, Wiener–Hopf factorization.

UDC: 519.642.2

Received: 16.12.2010