The applications of partial integro-differential equations related to adaptive wavelet collocation methods for viscosity solutions to jump-diffusion models
DOI10.1016/J.AMC.2014.08.002zbMATH Open1339.65191OpenAlexW2064780779MaRDI QIDQ295205FDOQ295205
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
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viscosity solutionjump-diffusionwaveletadaptive collocation methodspartial integro-differential equations
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)
Cites Work
- A jump-diffusion model for option pricing
- Fast wavelet transforms and numerical algorithms I
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- The Variance Gamma Process and Option Pricing
- The Lifting Scheme: A Construction of Second Generation Wavelets
- Nonlinear integro-differential evolution problems arising in option pricing: a viscosity solutions approach.
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- A wavelet collocation method for the numerical solution of partial differential equations
- On the Representation of Operators in Bases of Compactly Supported Wavelets
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- Using the Refinement Equation for Evaluating Integrals of Wavelets
- Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
- An adaptive multilevel wavelet collocation method for elliptic problems
- Second-generation wavelet collocation method for the solution of partial differential equations
Cited In (6)
- Using kernel-based collocation methods to solve a delay partial differential equation with application to finance
- An adaptive stochastic investigation of partial differential equations using wavelet collocation generalized polynomial chaos method
- Wavelet Galerkin schemes for multidimensional anisotropic integrodifferential operators
- Two dimensional wavelets collocation scheme for linear and nonlinear Volterra weakly singular partial integro-differential equations
- Isogeometric analysis in option pricing
- A wavelet collocation method for viscosity solutions to swing options in natural gas storage
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