A posteriori error analysis for a class of integral equations and variational inequalities

DOI10.1007/s00211-010-0310-yzbMath1202.65085OpenAlexW2076206883MaRDI QIDQ707582

Chen-Song Zhang, Ricardo H. Nochetto, Tobias von Petersdorff

Publication date: 8 October 2010

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-010-0310-y

zbMATH Keywords

convergenceLévy processesnumerical experimentsAmerican optionsa posteriori error estimatoradaptive algorithmsdiffusion processesintegro-differential operatoractual error in \(H^s\) normelliptic variational equationsimplicit Euler method in timeparabolic variational equationspiecewise linear finite elements

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Integral operators (45P05) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Numerical methods for ill-posed problems for integral equations (65R30) Initial value problems for second-order parabolic equations (35K15) Boundary element methods for boundary value problems involving PDEs (65N38) Portfolio theory (91G10) Numerical methods for variational inequalities and related problems (65K15)

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