most citedA fast and accurate numerical method for the symmetric Lévy processes based on the Fourier transform and sinc-Gauss sampling formula

3 citations · 3 across the 1 of their papers we have counts for

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1 paper

math.NA2014★ 3 cited

A fast and accurate numerical method for the symmetric Lévy processes based on the Fourier transform and sinc-Gauss sampling formula

Ken'ichiro Tanaka

In this paper, we propose a fast and accurate numerical method based on Fourier transform to solve Kolmogorov forward equations of symmetric scalar Lévy processes. The method is ba…