Numerical solutions of regime-switching jump diffusions.
Tuan Anh HoangGang George YinFubao XiPublished in: Appl. Math. Comput. (2014)
Keyphrases
- numerical solution
- differential equations
- partial differential equations
- anisotropic diffusion
- brownian motion
- low order
- finite difference
- finite element
- markov chain
- numerical methods
- finite dimensional
- nonlinear equations
- exact solution
- ordinary differential equations
- multiscale
- state vector
- curve evolution
- mathematical model
- markov random field
- higher order