Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation

نویسندگان

چکیده

We consider stochastic differential equations driven by a general L\'evy processes (SDEs) with infinite activity and the related, via Feynman-Kac formula, Dirichlet problem for parabolic integro-differential equation (PIDE). approximate solution of PIDE using numerical method SDEs. The is based on three ingredients: (i) we small jumps diffusion; (ii) use restricted jump-adaptive time-stepping; (iii) between exploit weak Euler approximation. prove convergence considered algorithm present an in-depth analysis how its error computational cost depend jump level. Results some experiments, including pricing barrier basket currency options, are presented.

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ژورنال

عنوان ژورنال: Bit Numerical Mathematics

سال: 2021

ISSN: ['0006-3835', '1572-9125']

DOI: https://doi.org/10.1007/s10543-021-00863-2