Integro-PDEs: Numerical methods, Analysis, and Applications to Finance

Publications from the project

  • S. Cifani and E. R. Jakobsen.
    On the spectral vanishing viscosity method for periodic fractional conservation laws.
    Submitted 2010. Preprint: PDF

  • S. Cifani and E. R. Jakobsen.
    Entropy solution theory for fractional degenerate convection-diffusion equations.
    Submitted 2010. Preprint: PDF

  • S. Cifani and E. R. Jakobsen.
    Entropy solution theory for fractional degenerate convection-diffusion equations.
    Submitted 2010. Preprint: PDF.

  • S. Cifani, E. R. Jakobsen, and K. H. Karlsen.
    The discontinuous Galerkin method for fractional degenerate convection-diffusion equations. Submitted 2010. Preprint: PDF

  • K. Debrabant and E. R. Jakobsen.
    Semi-Lagrangian schemes for linear and fully non-linear diffusion equations.
    Submitted, 2009. Preprint: PDF.

  • S. Cifani, E. R. Jakobsen, and K. H. Karlsen.
    The discontinuous Galerkin method for fractal conservation laws.
    To appear in IMA J. Numer. Anal. Preprint: PDF

  • H. Holden, N. H. Risebro, and H. Sande.
    Front tracking for a model of immiscible gas flow with large data.
    BIT Numer. Math. (2010) 50: 331-376. (Preprint: PDF).

  • I. H. Biswas, E. R. Jakobsen, and K. H. Karlsen.
    Difference-quadrature schemes for nonlinear degenerate parabolic integro-PDE.
    SIAM J. Numer. Anal. 48(3): 1110-1135, 2010. (Preprint: PDF)
  • I. H. Biswas, E. R. Jakobsen, and K. H. Karlsen.
    Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes.
    Appl. Math. Optim. 62(1): 47-80, 2010. (Preprint: PDF)

  • F. Camilli and E. R. Jakobsen.
    A Finite Element like Scheme for Integro-Partial Differential Hamilton-Jacobi-Bellman Equations.
    SIAM J. Numer. Anal. 47(4): 2407-2431, 2009. Preprint: PDF

  • E. R. Jakobsen and C. A. Georgelin.
    Continuous dependence results for non-linear Neumann type boundary value problems.
    J. Differential Equations 245(9): 2355-2704, 2008. Preprint: PDF

  • I. H. Biswas, E. R. Jakobsen, and K. H. Karlsen.
    Error estimates for finite difference-quadrature schemes for fully nonlinear degenerate parabolic integro-PDEs.
    J. Hyperbolic Differ. Equ. 5(1): 187-219, 2008. Preprint

Updated 2010-12-01