Wavelet solution of variable order pseudodifferential equations
analytic semigroupsDirichlet formsFeller processesFeller-Lévy processesGårding inequalityKolmogoroff equationslog-linear complexitymultilevel norm equivalencesoption pricingpseudodifferential operatorsSchwartz kernelsSobolev spaceswavelets
Boundary value problems for PDEs with pseudodifferential operators (35S15) Markov semigroups and applications to diffusion processes (47D07) Processes with independent increments; Lévy processes (60G51) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical methods for wavelets (65T60) Complexity and performance of numerical algorithms (65Y20) Numerical methods (including Monte Carlo methods) (91G60)
The authors obtain wavelet-based algorithms of log-linear complexity for the valuation of contingent claims on pure Feller-Lévy processes \(X_t\) with state-dependent jump intensity by a numerical solution of the corresponding Kolmogorov equations. They introduce a class of pseudodifferential operators \(A\) of variable order and derive estimates for the Schwartz kernels of \(A_X.\) They define variable order Sobolev spaces \(H^{m(x) },0\leq m(x) <1,\) which are the domains of Dirichlet forms of \(A_X\). For spline wavelets with complementary boundary conditions, they use the bounds on the Schwartz kernels to establish the main results of the paper: multilevel norm equivalences in \(H^{m(x) }(I) \) and compression estimates for the moment matrices of \(A_X\) in the wavelet basis. Sufficient conditions on \(A\) to satisfy a Gårding inequality in \(H^{m(x) }(I) \) and time-analyticity of the semigroup \(T_t\) associated with the Feller process \(X_t\) are demonstrated.
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