An algorithm for the convolution of Legendre series

DOI10.1137/140955835MaRDI QIDQ2878950zbMATH OpenOpenAlexFDO

Authors Nicholas Hale, Alex Townsend

Publication date 5 September 2014

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/76d7d7d95b5a4513650220803e9625fabe3d7f2a

zbMATH Keywords

Fourier transformconvolutionLegendre polynomialspherical Bessel function

Mathematics Subject Classification ID

Convolution as an integral transform (44A35) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45)

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(8)

• Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
• Spectral approximation of convolution operators
• A fast algorithm for the convolution of functions with compact support using Fourier extensions
• \(C^\infty\) compactly supported and positive definite radial kernels
• Algorithmic approach for formal Fourier series
• Fast polynomial transforms based on Toeplitz and Hankel matrices
• A fast, simple, and stable Chebyshev-Legendre transform using an asymptotic formula
• A Fast Analysis-Based Discrete Hankel Transform Using Asymptotic Expansions

Describes a project that uses

Uses Software

• PaCAL

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