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Numerical solution to the Kolmogorov-Feller equation

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Abstract

A finite-difference method is proposed for solving the Kolmogorov-Feller integro-differential equation. The numerical scheme constructed is an unconditionally stable marching scheme, and the boundary conditions are determined on the basis of an explicit solution to the original equation at boundary points.

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References

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Authors and Affiliations

  1. Dorodnicyn Computing Center Russian Academy of Sciences, ul. Vavilova 40, Moscow, 119991, Russia

    N. A. Baranov & L. I. Turchak

Authors
  1. N. A. Baranov
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  2. L. I. Turchak
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Original Russian Text © N.A. Baranov, L.I. Turchak, 2007, published in Zhurnal Vychislitel’noi Matematiki i Matematicheskoi Fiziki, 2007, Vol. 47, No. 7, pp. 1221–1228.

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Baranov, N.A., Turchak, L.I. Numerical solution to the Kolmogorov-Feller equation. Comput. Math. and Math. Phys. 47, 1171–1178 (2007). https://doi.org/10.1134/S0965542507070093

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  • DOI: https://doi.org/10.1134/S0965542507070093

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