| Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2014: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2013: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2012: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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| Outline of Final Research Achievements |
In this study, we proposed a numerical method for Kolmogorov's equations of Levy processes, which are popular stochastic processes. For this purpose, we designed numerical algorithms based on Fourier transform. More precisely, we accelerate the computation by the double exponential formula for Fourier transform using non-uniform FFT, proposed a numerical integration formula based on the Sinc-Gauss approximation formula, etc. By the proposed method, we succeeded in obtaining accurate numerical solutions of the Kolmogorov's equations in the time with the same order as that of FFT.
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