Stochastic transport with Lévy noise fully discrete numerical approximation
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DOI: 10.1016/j.matcom.2024.07.036
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References listed on IDEAS
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"Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation,"
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World Scientific Publishing Co. Pte. Ltd..
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- Barth, Andrea & Stüwe, Tobias, 2018. "Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 143(C), pages 215-225.
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- Benth, Fred Espen & Koekebakker, Steen, 2008. "Stochastic modeling of financial electricity contracts," Energy Economics, Elsevier, vol. 30(3), pages 1116-1157, May.
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Keywords
Numerical analysis of SPDEs; Stochastic transport equation; Infinite-dimensional Lévy processes; Discontinuous Galerkin method;All these keywords.
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