Efficient numerical approximation of a non-regular Fokker--Planck equation associated with first-passage time distributions

no code implementations • 8 Mar 2021 • Udo Boehm, Sonja Cox, Gregor Gantner, Rob Stevenson

The predicted convergence rates of the minimal residual method and that of the interpolation method are supported by numerical simulations.

Numerical Analysis Numerical Analysis

Affine pure-jump processes on positive Hilbert-Schmidt operators

no code implementations • 18 Dec 2020 • Sonja Cox, Sven Karbach, Asma Khedher

The class of processes we consider is an infinite dimensional analogue of the affine processes in the space of positive semi-definite and symmetric matrices studied in Cuchiero et al. [Ann.

Probability 60-XX, 60J25, 60J76