Linear complexity solution of parabolic integro-differential equations
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Publication:2502236
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
convergencenumerical examplesoption pricingfinite elementGMRESparabolic equationsWaveletspseudo-differential operatorGalerkin methodsmatrix compressioncomputational finance
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)
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