Wavelet Discretizations of Parabolic Integrodifferential Equations

DOI10.1137/S0036142901394844MaRDI QIDQ4443583zbMATH OpenOpenAlexFDO

Authors Tobias Von Petersdorff, Christoph Schwab

Publication date 18 January 2004

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0036142901394844

zbMATH Keywords

algorithmconvergencediscontinuous Galerkin methodGMRESLévy-processparabolic integrodifferential equationwavelet compression

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Numerical methods for integral equations (65R20) Numerical methods for wavelets (65T60)

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Cited in

(21)

• Two dimensional wavelets collocation scheme for linear and nonlinear Volterra weakly singular partial integro-differential equations
• Approximations of parabolic integro-differential equations using wavelet-Galerkin compression techniques
• Linear complexity solution of parabolic integro-differential equations
• A finite elements approach for spread contract valuation via associated two-dimensional PIDE
• Classification of Lévy processes with parabolic Kolmogorov backward equations
• On the convergence of the wavelet-Galerkin method for nonlinear filtering
• A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
• Wavelet Galerkin pricing of American options on Lévy driven assets
• Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces
• A Note on High/Low-Wave-Number Interactions in Spatially Discrete Parabolic Equations
• scientific article; zbMATH DE number 1284413 (Why is no real title available?)
• Optimal space-time adaptive wavelet methods for degenerate parabolic PDEs
• A Flexible Galerkin Scheme for Option Pricing in Lévy Models
• Dirichlet forms and finite element methods for the SABR model
• Fast deterministic pricing of options on Lévy driven assets
• Numerical solution of parabolic equations in high dimensions
• ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS
• On the solution of the Fokker-Planck equation using a high-order reduced basis approximation
• On the numerical solution of a parabolic Fredholm integro-differential equation by the RBF method
• Orthogonal wavelet method for multi-stage expansion and contraction options under stochastic volatility
• Wavelet solution of variable order pseudodifferential equations

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