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Matematicheskoe modelirovanie, 2011, Volume 23, Number 5, Pages 95–104 (Mi mm3112)  
This article is cited in 8 scientific papers (total in 8 papers)

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

O. E. Kudryavtsevab

a Southern Federal University, Department of Mathematics, Mechanics and Computer Science, Rostov-on-Don
b Russian Customs Academy, Rostov Branch, Rostov-on-Don
Full-text PDF (330 kB) Citations (8)
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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.
Received: 16.12.2010
English version:
Mathematical Models and Computer Simulations, 2011, Volume 3, Issue 6, Pages 706–711
DOI: https://doi.org/10.1134/S2070048211060068
Bibliographic databases:
Document Type: Article
UDC: 519.642.2
Language: Russian
Citation: O. E. Kudryavtsev, “Efficient numerical method for solving a special class of integro-differential equations connected with Levy models”, Matem. Mod., 23:5 (2011), 95–104; Math. Models Comput. Simul., 3:6 (2011), 706–711
Citation in format AMSBIB
\Bibitem{Kud11}
\by O.~E.~Kudryavtsev
\paper Efficient numerical method for solving a~special class of integro-differential equations connected with Levy models
\jour Matem. Mod.
\yr 2011
\vol 23
\issue 5
\pages 95--104
\mathnet{http://mi.mathnet.ru/mm3112}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2866194}
\transl
\jour Math. Models Comput. Simul.
\yr 2011
\vol 3
\issue 6
\pages 706--711
\crossref{https://doi.org/10.1134/S2070048211060068}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84928986538}
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    • This publication is cited in the following 8 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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