Journal
APPLIED MATHEMATICS AND COMPUTATION
Volume 294, Issue -, Pages 1-17Publisher
ELSEVIER SCIENCE INC
DOI: 10.1016/j.amc.2016.08.050
Keywords
Jump-diffusion processes; Fokker-Planck equation; Partial integro-differential equation; Strang-Marchuk splitting; Chang-Cooper; Convergence analysis
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Funding
- European Union [304617]
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A splitting implicit-explicit (SIMEX) scheme for solving a partial integro-differential Fokker-Planck equation related to a jump-diffusion process is investigated. This scheme combines the Chang-Cooper method for spatial discretization with the Strang-Marchuk splitting and first- and second-order time discretization methods. It is proved that the SIMEX scheme is second-order accurate, positive preserving, and conservative. Results of numerical experiments that validate the theoretical results are presented. (C) 2016 Elsevier Inc. All rights reserved.
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