A posteriori error analysis for a class of integral equations and variational inequalities

DOI10.1007/s00211-010-0310-yzbMath1202.65085MaRDI QIDQ707582

Chen-Song Zhang, Ricardo H. Nochetto, Tobias von Petersdorff

Publication date: 8 October 2010

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-010-0310-y

zbMATH Keywords

convergence; Lévy processes; numerical experiments; American options; a posteriori error estimator; adaptive algorithms; diffusion processes; integro-differential operator; actual error in \(H^s\) norm; elliptic variational equations; implicit Euler method in time; parabolic variational equations; piecewise linear finite elements

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65R20: Numerical methods for integral equations

45P05: Integral operators

65M15: Error bounds for initial value and initial-boundary value problems involving PDEs

65R30: Numerical methods for ill-posed problems for integral equations

35K15: Initial value problems for second-order parabolic equations

65N38: Boundary element methods for boundary value problems involving PDEs

91G10: Portfolio theory

65K15: Numerical methods for variational inequalities and related problems

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