A posteriori error analysis for a class of integral equations and variational inequalities
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convergence[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]numerical experimentsa posteriori error estimatoradaptive algorithmsAmerican optionsdiffusion processesintegro-differential operatoractual error in \(H^s\) normelliptic variational equationsimplicit Euler method in timeparabolic variational equationspiecewise linear finite elements
Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Numerical methods for integral equations (65R20) Initial value problems for second-order parabolic equations (35K15) Numerical methods for variational inequalities and related problems (65K15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Boundary element methods for boundary value problems involving PDEs (65N38) Integral operators (45P05) Numerical methods for ill-posed problems for integral equations (65R30)
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- scientific article; zbMATH DE number 176684
- scientific article; zbMATH DE number 3948832
- General approach for a posteriori error estimates for finite element solutions of variational inequalities
- A posteriori error identities for nonlinear variational problems
- An a posteriori error estimate for a first-kind integral equation
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- A posteriorierror analysis for parabolic variational inequalities
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- A Posteriori Error Estimates for Boundary Element Methods
- A Posteriori Error Estimators for Regularized Total Variation of Characteristic Functions
- A penalty method for American options with jump diffusion processes
- A posteriori error estimates for elliptic problems with Dirac delta source terms
- A posteriori error estimates for variable time-step discretizations of nonlinear evolution equations
- A posteriori error estimation in finite element analysis
- A posteriori error estimators for obstacle problems -- another look
- ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS
- Accurate Evaluation of European and American Options Under the CGMY Process
- Adaptive boundary element methods for strongly elliptic integral equations
- An Introduction to Variational Inequalities and Their Applications
- An a posteriori error estimate for a first-kind integral equation
- An adaptive finite element algorithm with reliable and efficient error control for linear parabolic problems
- An additive Schwarz method for variational inequalities
- Design of adaptive finite element software. The finite element toolbox ALBERTA. With CD-ROM
- Efficiency of a posteriori BEM–error estimates for first-kind integral equations on quasi–uniform meshes
- Efficient and reliable a posteriori error estimators for elliptic obstacle problems
- Efficient and reliable a-posteriori error estimates for boundary integral operators of positive and negative order
- Elliptic reconstruction and a posteriori error estimates for fully discrete linear parabolic problems
- Euler Equations, Navier-Stokes Equations and Turbulence
- Fast deterministic pricing of options on Lévy driven assets
- Financial Modelling with Jump Processes
- Galerkin Finite Element Methods for Parabolic Problems
- Linear integral equations.
- Local a-posteriori error indicators for the Galerkin discretization of boundary integral equations
- Numerical solution of two asset jump diffusion models for option valuation
- On American Options Under the Variance Gamma Process
- On the boundary element method for the Signorini problem of the Laplacian
- Perpetual American Options Under Lévy Processes
- Pointwise a posteriori error control for elliptic obstacle problems
- Pointwise a posteriori error estimates for monotone semi-linear equations
- Quadrature for \(hp\)-Galerkin BEM in \(\mathbb{R}^3\)
- Rate of convergence for some constraint decomposition methods for nonlinear variational inequalities
- Regularity of the obstacle problem for a fractional power of the laplace operator
- Regularity theory for fully nonlinear integro-differential equations
- Space-time adaptive wavelet methods for parabolic evolution problems
- Stochastic Volatility for Lévy Processes
- Strong ellipticity of boundary integral operators.
- Theory of adaptive finite element methods: An introduction
- Variable order composite quadrature of singular and nearly singular integrals
- Wavelet Galerkin pricing of American options on Lévy driven assets
Cited in
(32)- Space-time adaptive finite elements for nonlocal parabolic variational inequalities
- Numerical methods for nonlocal and fractional models
- An error analysis of a finite element method with IMEX-time semidiscretizations for some partial integro-differential inequalities arising in the pricing of American options
- Robust BPX preconditioner for fractional Laplacians on bounded Lipschitz domains
- Local energy estimates for the fractional Laplacian
- A posteriorierror analysis for parabolic variational inequalities
- Two new approaches for solving elliptic obstacle problems using discontinuous Galerkin methods
- A \(C^0\) interior penalty method for a fourth-order variational inequality of the second kind
- Finite element approximation of the parabolic fractional obstacle problem
- A posteriori error control of discontinuous Galerkin methods for elliptic obstacle problems
- A posteriori error analysis of finite element method for linear nonlocal diffusion and peridynamic models
- Weighted Sobolev regularity and rate of approximation of the obstacle problem for the integral fractional Laplacian
- Numerical methods for fractional diffusion
- A general error estimate for parabolic variational inequalities
- Bubbles enriched quadratic finite element method for the 3D-elliptic obstacle problem
- Pointwise a posteriori error analysis of quadratic finite element method for the elliptic obstacle problem
- A posteriori error estimates for the electric field integral equation on polyhedra
- Inhomogeneous Dirichlet boundary condition in the \textit{a posteriori} error control of the obstacle problem
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
- An a posteriori error estimate for a first-kind integral equation
- Linear and nonlinear fractional elliptic problems
- Discontinuous Galerkin methods for a contact problem with Tresca friction arising in linear elasticity
- A posteriori error analysis of hybrid high-order methods for the elliptic obstacle problem
- An a posteriori error estimator for the spectral fractional power of the Laplacian
- Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods
- Quasi-optimal convergence rate for an adaptive method for the integral fractional Laplacian
- Supremum-norm a posteriori error control of quadratic discontinuous Galerkin methods for the obstacle problem
- Adaptive boundary element methods with convergence rates
- Variationally consistent discretization schemes and numerical algorithms for contact problems
- Solution Theory, Variational Formulations, and Functional a Posteriori Error Estimates for General First Order Systems with Applications to Electro-Magneto-Statics and More
- Pointwise adaptive non-conforming finite element method for the obstacle problem
- scientific article; zbMATH DE number 7266471 (Why is no real title available?)
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