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Numerical solution to the Kolmogorov-Feller equation |
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| Authors: | N A Baranov L I Turchak |
| Institution: | (1) Dorodnicyn Computing Center Russian Academy of Sciences, ul. Vavilova 40, Moscow, 119991, Russia |
| Abstract: | 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. |
| Keywords: | Kolmogorov-Feller integro-differential equation finite-difference method stability of finite-difference scheme |
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