Efficient solution of a partial integro-differential equation in finance
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Cited in
(60)- Properties of a partial Fredholm integro-differential equations with nonlocal condition and algorithms
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- A structure preserving matrix factorization for solving general periodic pentadiagonal Toeplitz linear systems
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- Taylor collocation method for solving two‐dimensional partial Volterra integro‐differential equations
- An actuated computational method for treating parabolic partial delay integro-differential equations constrained by infinite boundary
- Synthesis of distributed optimal control in the tracking problem for the optimization of thermal processes described by integro-differential equations
- Feedback Volterra control of integro-differential equations
- Band-times-circulant preconditioners for non-symmetric real Toeplitz systems with unknown generating function
- A fast algorithm for solving Toeplitz penta-diagonal systems
- AN EFFECTIVE COMPUTATIONAL APPROACH BASED ON HERMITE WAVELET GALERKIN FOR SOLVING PARABOLIC VOLTERRA PARTIAL INTEGRO DIFFERENTIAL EQUATIONS AND ITS CONVERGENCE ANALYSIS
- Adaptive trust-region POD methods in PIDE-constrained optimization
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- A simple equation solver and its application to financial modelling
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- An iterative method for pricing American options under jump-diffusion models
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- The applications of partial integro-differential equations related to adaptive wavelet collocation methods for viscosity solutions to jump-diffusion models
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
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