Geodesic
Numerical solution to the Kolmogorov–Feller equation
Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 47 (2007) no. 7, pp. 1221-1228
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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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N. A. Baranov; L. I. Turchak. Numerical solution to the Kolmogorov–Feller equation. Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 47 (2007) no. 7, pp. 1221-1228. http://geodesic.mathdoc.fr/item/ZVMMF_2007_47_7_a8/

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