The applications of partial integro-differential equations related to adaptive wavelet collocation methods for viscosity solutions to jump-diffusion models

DOI10.1016/J.AMC.2014.08.002MaRDI QIDQ295205zbMATHOpenAlexFDO

Authors Lan Di, Antony Ware, George Yuan, Hua Li

Publication date 17 June 2016

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2014.08.002

zbMATH Keywords

viscosity solutionjump-diffusionwaveletadaptive collocation methodspartial integro-differential equations

Mathematics Subject Classification ID

Numerical methods for wavelets (65T60) Integro-partial differential equations (45K05) Reaction-diffusion equations (35K57) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Cites work

• scientific article; zbMATH DE number 4205918 (Why is no real title available?)
• scientific article; zbMATH DE number 1944677 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• A jump-diffusion model for option pricing
• A multilevel wavelet collocation method for solving partial differential equations in a finite domain
• A wavelet collocation method for the numerical solution of partial differential equations
• An adaptive multilevel wavelet collocation method for elliptic problems
• Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
• Fast wavelet transforms and numerical algorithms I
• Nonlinear integro-differential evolution problems arising in option pricing: a viscosity solutions approach.
• On the Representation of Operators in Bases of Compactly Supported Wavelets
• Processes of normal inverse Gaussian type
• Second-generation wavelet collocation method for the solution of partial differential equations
• The Lifting Scheme: A Construction of Second Generation Wavelets
• The Variance Gamma Process and Option Pricing
• Using the Refinement Equation for Evaluating Integrals of Wavelets

Cited in

(6)

• An adaptive stochastic investigation of partial differential equations using wavelet collocation generalized polynomial chaos method
• Wavelet Galerkin schemes for multidimensional anisotropic integrodifferential operators
• Isogeometric analysis in option pricing
• Using kernel-based collocation methods to solve a delay partial differential equation with application to finance
• Two dimensional wavelets collocation scheme for linear and nonlinear Volterra weakly singular partial integro-differential equations
• A wavelet collocation method for viscosity solutions to swing options in natural gas storage

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