Diagonal Frog meets ADI: trading matrix exponentials for rational maps in the Fokker–Planck equation

By Andrey Itkin, Rakhymzhan Kazbek

Published 2026-08-25

Everscope rating

1526.5

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: DF-ADI (Diagonal Frog Alternating Direction Implicit) scheme. Problem types: Density Estimation, Risk Management, Portfolio Optimization, Optimization.

arXiv:2608.22703 · Code · Paper rankings

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