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

DOI10.1007/s00211-010-0310-yzbMath1202.65085MaRDI 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

convergence; Lévy processes; numerical experiments; American options; a posteriori error estimator; adaptive algorithms; diffusion processes; integro-differential operator; actual error in \(H^s\) norm; elliptic variational equations; implicit Euler method in time; parabolic variational equations; piecewise linear finite elements

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65R20: Numerical methods for integral equations

45P05: Integral operators

65M15: Error bounds for initial value and initial-boundary value problems involving PDEs

65R30: Numerical methods for ill-posed problems for integral equations

35K15: Initial value problems for second-order parabolic equations

65N38: Boundary element methods for boundary value problems involving PDEs

91G10: Portfolio theory

65K15: Numerical methods for variational inequalities and related problems

Related Items

A posteriori error analysis of finite element method for linear nonlocal diffusion and peridynamic models, A comparison of iterated optimal stopping and local policy iteration for American options under regime switching, Adaptive boundary element methods with convergence rates, A posteriori error control of discontinuous Galerkin methods for elliptic obstacle problems, Variationally consistent discretization schemes and numerical algorithms for contact problems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A posteriori error estimates for elliptic problems with Dirac delta source terms
• Numerical solution of two asset jump diffusion models for option valuation
• Adaptive boundary element methods for strongly elliptic integral equations
• Linear integral equations.
• On the boundary element method for the Signorini problem of the Laplacian
• Variable order composite quadrature of singular and nearly singular integrals
• Local a-posteriori error indicators for the Galerkin discretization of boundary integral equations
• Quadrature for \(hp\)-Galerkin BEM in \(\mathbb{R}^3\)
• Pointwise a posteriori error control for elliptic obstacle problems
• Design of adaptive finite element software. The finite element toolbox ALBERTA. With CD-ROM
• Rate of convergence for some constraint decomposition methods for nonlinear variational inequalities
• A penalty method for American options with jump diffusion processes
• Pointwise a posteriori error estimates for monotone semi-linear equations
• A posteriori error estimators for obstacle problems -- another look
• Efficient and Reliable A Posteriori Error Estimators for Elliptic Obstacle Problems
• Space-time adaptive wavelet methods for parabolic evolution problems
• Wavelet Galerkin pricing of American options on Lévy driven assets
• Regularity of the obstacle problem for a fractional power of the laplace operator
• Elliptic reconstruction and a posteriori error estimates for fully discrete linear parabolic problems
• A posteriorierror analysis for parabolic variational inequalities
• Theory of adaptive finite element methods: An introduction
• Euler Equations, Navier-Stokes Equations and Turbulence
• Regularity theory for fully nonlinear integro-differential equations
• Strong ellipticity of boundary integral operators.
• A Posteriori Error Estimators for Regularized Total Variation of Characteristic Functions
• An additive Schwarz method for variational inequalities
• An Introduction to Variational Inequalities and Their Applications
• Perpetual American Options Under Lévy Processes
• Stochastic Volatility for Lévy Processes
• An adaptive finite element algorithm with reliable and efficient error control for linear parabolic problems
• Financial Modelling with Jump Processes
• A Posteriori Error Estimates for Boundary Element Methods
• Efficiency of a posteriori BEM–error estimates for first-kind integral equations on quasi–uniform meshes
• On American Options Under the Variance Gamma Process
• Fast deterministic pricing of options on Lévy driven assets
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS
• Accurate Evaluation of European and American Options Under the CGMY Process
• Galerkin Finite Element Methods for Parabolic Problems
• An a posteriori error estimate for a first-kind integral equation