Numerical Solution of Multidimensional Exponential Levy Equation by Block Pulse Function

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Bakhshmohammadlou Minoo; FARNOOSH RAHMAN

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: Advances in Mathematical Finance and Applications Year:2020 | Volume:5 | Issue:2 Page(s): 247-259

Download Full-Text

View:

206

Download:

134

Cites:

Information Journal Paper

Title

Numerical Solution of Multidimensional Exponential Levy Equation by Block Pulse Function

Author(s)

Bakhshmohammadlou Minoo | FARNOOSH RAHMAN | Issue Writer Certificate

Keywords

Exponential Levy equation

Block pulse function

Stochastic operational matrix

Jump-diffusion market

Abstract

The multidimensional Exponential Levy equations are used to describe many stochastic phenomena such as market fluctuations. Unfortunately in practice an exact solution does not exist for these equations. This motivates us to propose a numerical solution for n-dimensional Exponential Levy equations by Block pulse functions. We compute the jump integral of each Block pulse function and present a Poisson operational matrix. Then we reduce our equation to a linear lower triangular system by constant, Wiener and Poisson operational matrices. Finally using the forward substitution method, we obtain an approximate answer with the convergence rate of O(h). Moreover, we illustrate the accuracy of the proposed method with a 95% confidence interval by some numerical examples.

Multimedia

No record.

Cites

No record.

References

No record.

Cite

APA: Copy

Bakhshmohammadlou, Minoo, & FARNOOSH, RAHMAN. (2020). Numerical Solution of Multidimensional Exponential Levy Equation by Block Pulse Function. ADVANCES IN MATHEMATICAL FINANCE AND APPLICATIONS, 5(2), 247-259. SID. https://sid.ir/paper/349590/en

Vancouver: Copy

Bakhshmohammadlou Minoo, FARNOOSH RAHMAN. Numerical Solution of Multidimensional Exponential Levy Equation by Block Pulse Function. ADVANCES IN MATHEMATICAL FINANCE AND APPLICATIONS[Internet]. 2020;5(2):247-259. Available from: https://sid.ir/paper/349590/en

IEEE: Copy

Minoo Bakhshmohammadlou, and RAHMAN FARNOOSH, “Numerical Solution of Multidimensional Exponential Levy Equation by Block Pulse Function,” ADVANCES IN MATHEMATICAL FINANCE AND APPLICATIONS, vol. 5, no. 2, pp. 247–259, 2020, [Online]. Available: https://sid.ir/paper/349590/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops