Linear complexity solution of parabolic integro-differential equations

DOI10.1007/S00211-006-0006-5zbMath1102.65139OpenAlexW2080460578MaRDI QIDQ2502236

Christoph Schwab, Thomas P. Wihler, Ana-Maria Matache

Publication date: 12 September 2006

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

Full work available at URL: http://purl.umn.edu/4046

zbMATH Keywords

convergencenumerical examplesoption pricingfinite elementGMRESparabolic equationsWaveletspseudo-differential operatorGalerkin methodsmatrix compressioncomputational finance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Initial value problems for PDEs with pseudodifferential operators (35S10)

Related Items (9)

Numerical Analysis and Computational Solution of Integro-Differential Equations ⋮ The Variable-Order Discontinuous Galerkin Time Stepping Scheme for Parabolic Evolution Problems is Uniformly $L^\infty$-Stable ⋮ ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS ⋮ Numerical methods for Lévy processes ⋮ A posteriori error estimation for \(hp\)-version time-stepping methods for parabolic partial differential equations ⋮ Wavelet solution of variable order pseudodifferential equations ⋮ A Convergent Difference Scheme for a Class of Partial Integro-Differential Equations Modeling Pricing under Uncertainty ⋮ A posteriori error bounds for fully-discrete \textit{hp}-discontinuous Galerkin timestepping methods for parabolic problems ⋮ Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing

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