2022/12/05 by Soumya Ranjan Behera, Behera, Soumya Ranjan, Ananta K. Majee +1
Economics, Econometrics and Finance · #Analysis of PDEs (math.AP) #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2212.02041
openalex publication_date 2022/12/05 · openalex created_date 2022/12/18 · openalex updated_date 2026/07/28
In this paper, we are concerned with a operator splitting scheme for linear fractional and fractional degenerate stochastic conservation laws driven by multiplicative Levy noise. More specifically, using a variant of classical Kruzkov's doubling of variable approach, we show that the approximate solutions generated by the splitting scheme converges to the unique stochastic entropy solution of the underlying problems.Finally, the convergence analysis is illustrated by several numerical examples.