Open AccessA new method for solving Kolmogorov equations in mathematical finance
Author(s) -
Philippe G. LeFloch,
JeanMarc Mercier
Publication year - 2017
Publication title -
comptes rendus mathématique
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.803
H-Index - 68
eISSN - 1778-3569
pISSN - 1631-073X
DOI - 10.1016/j.crma.2017.05.003
Subject(s) - mathematics , mathematical finance , computation , valuation (finance) , calibration , fokker–planck equation , kolmogorov equations (markov jump process) , numerical analysis , calculus (dental) , mathematical economics , algorithm , finance , partial differential equation , mathematical analysis , differential equation , statistics , economics , ordinary differential equation , medicine , differential algebraic equation , dentistry
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom