Analysis of splitting methods for solving a partial integro-differential Fokker–Planck equation

B. Gaviraghi, M. Annunziato and A. Borzì

Applied Mathematics and Computation, 2017, vol. 294, issue C, 1-17

Abstract: A splitting implicit-explicit (SIMEX) scheme for solving a partial integro-differential Fokker–Planck equation related to a jump-diffusion process is investigated. This scheme combines the Chang–Cooper method for spatial discretization with the Strang–Marchuk splitting and first- and second-order time discretization methods. It is proved that the SIMEX scheme is second-order accurate, positive preserving, and conservative. Results of numerical experiments that validate the theoretical results are presented.

Keywords: Jump-diffusion processes; Fokker–Planck equation; Partial integro-differential equation; Strang–Marchuk splitting; Chang–Cooper; Convergence analysis (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:294:y:2017:i:c:p:1-17

DOI: 10.1016/j.amc.2016.08.050

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