Geodesic
Efficient numerical method for solving a~special class of integro-differential equations connected with Levy models
Matematičeskoe modelirovanie, Tome 23 (2011) no. 5, pp. 95-104

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In the paper an efficient numerical method for solving a special class of partial integro-differential equations is developed. The problems under consideration arise in applications together with computation of the special functionals of Levy processes. The method is based on the efficient approximating Wiener–Hopf factorization and a numerical inversion of the Laplace transform.
Keywords: numerical methods, modelling, Levy processes, integro-differential equations, Wiener–Hopf factorization. 
@article{MM_2011_23_5_a6,
     author = {O. E. Kudryavtsev},
     title = {Efficient numerical method for solving a~special class of integro-differential equations connected with {Levy} models},
     journal = {Matemati\v{c}eskoe modelirovanie},
     pages = {95--104},
     publisher = {mathdoc},
     volume = {23},
     number = {5},
     year = {2011},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MM_2011_23_5_a6/}
}
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O. E. Kudryavtsev. Efficient numerical method for solving a~special class of integro-differential equations connected with Levy models. Matematičeskoe modelirovanie, Tome 23 (2011) no. 5, pp. 95-104. http://geodesic.mathdoc.fr/item/MM_2011_23_5_a6/