A fast and accurate numerical method for the symmetric Lévy processes based on the Fourier tran

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：zoudehenhao

【摘要】

：

　　We propose a fast and accurate numerical method based on Fourier transform to solve Kolmogorov forward equations of symmetric scalar Lévy processes.The met

【作者】

：

TanakaKen'ichiro;

【机构】

：

Musashino Univ.

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

下载到本地 , 更方便阅读

下载此文赞助VIP

声明 : 本文档内容版权归属内容提供方 , 如果您对本文有版权争议 , 可与客服联系进行内容授权或下架

论文部分内容阅读

　　We propose a fast and accurate numerical method based on Fourier transform to solve Kolmogorov forward equations of symmetric scalar Lévy processes.The method is based on the accurate numerical formulas for Fourier transform proposed by Ooura.These formulas are combined with nonuniform fast Fourier transform(FFT)and fractional FFT to speed up the numerical computations.Moreover,we propose a formula for numerical indefinite integration on equispaced grids as a component of the method.The proposed integration formula is based on the sinc-Gauss sampling formula,which is a function approximation formula.This integration formula is also combined with the FFT.Therefore,all steps of the proposed method are executed using the FFT and its variants.The proposed method realizes exponential convergence and allows us to be free from some special treatments for a non-smooth initial condition and numerical time integration.

其他文献

Fast Method for Systems of Smolushowski-type Kinetic Equations

　　We propose a new computational techique for large systems of kinetic equations of aggregation and fragmentation processes.In contrast to standard Monte Carl

会议

Robust H∞ Control for Bilinear Systems using Linear Matrix Inequalities

　　The robust H∞ control design for bilinear systems which adopts the parallel distribution compensation is investigated.First,the bilinear system is represen

会议

A FRAMEWORK INTEGRATING BIOGEOGRAPHY-BASED OPTIMIZATION AND SUPPORT VECTOR REGRESSION FOR FREEWAY TR

　　Freeway travel time prediction models have been proposed in literature,but identification of important predictors has not received much attention.Identifica

会议

Derivative Free General Family of with and without Memory Root Finding Methods

　　In this work,we propose a general procedure to achieve a class of optimal derivative free iterative methods using rational interpolant.The class is further

会议

A Mathematical Model to Diagnose the Level of Diabetes Using Fuzzy Logic System

　　The diagnosis of disease involves several levels of uncertainty and imprecision and it is inherent to medicine.A single disease may manifest itself quite di

会议

The Impact of Additional Food as A Part of Prey Harvesting Effort for A Bioeconomic Predator-prey Mo

　　We consider two bio-economic ratio-dependent predator-prey models for prey harvesting,one without and the other with additional food supply to the predators

会议

A Simple Yet Efficient and Robust Image Encryption Algorithm Based on Quasigroup and Chaos

　　The proposed image cipher is a block cipher and based on the Shanon's substitution-diffusion architecture.We use a quasigroup of order 256 and chaotic stand

会议

Resource Criticality Analysis in Optical Network Planning

　　Existing optical network planning algorithms do not explicitly measure the impact of changes of network resources on the design objective.We propose a measu

会议

Estimating Parameters of Biological Models Using Ensemble Kalman Filter

　　Biological processes are very complex; involving many components with intricate interactions and also influenced by environment.Modelling such processes int

会议

Application of G Expectation in the Futures Margin-G-VaR

　　In the market,we need to set the futures margin based on the penetration rate of margin.In the industry,the futures margin is calculated by H-VaR,the basic

会议

A fast and accurate numerical method for the symmetric Lévy processes based on the Fourier tran

其他学术论文