Crank-Nicolson ADI finite difference/compact difference schemes for the 3D tempered integrodifferential equation associated with Brownian motion.
Leijie QiaoWenlin QiuDa XuPublished in: Numer. Algorithms (2023)
Keyphrases
- finite difference
- brownian motion
- differential equations
- numerical solution
- diffusion process
- hamilton jacobi
- diffusion equation
- partial differential equations
- finite element
- stochastic process
- optimal control
- numerical analysis
- level set
- stochastic processes
- poisson process
- heavy traffic
- queue length
- dynamical systems
- closed form solutions
- vector valued
- numerical methods
- anisotropic diffusion
- queueing networks
- markov chain
- image denoising
- multiresolution