Fast numerical solution of parabolic integrodifferential equations with applications in finance

SIAM Journal on Scientific Computing

Volumn 27, Issue 2, 2006, Pages 369-393

  Matache, Ana Maria ^a   Schwab, Christoph ^a   Wihler, Thomas P ^b  

^a ETH ZURICH   (Switzerland)

^b UNIVERSITY OF MINNESOTA   (United States)

Author keywords

Discontinuous Galerkin methods; GMRES; Integrodifferential operators; L vy processes; Markov processes; Matrix compression; Parabolic equations; Wavelets

Indexed keywords

ALGORITHMS; COMPUTATIONAL COMPLEXITY; DEGREES OF FREEDOM (MECHANICS); ITERATIVE METHODS; MARKOV PROCESSES; PROBLEM SOLVING;

DISCONTINUOUS GALERKIN METHODS; GMRES; INTEGRODIFFERENTIAL OPERATORS; LÉVY PROCESSES; MATRIX COMPRESSION; PARABOLIC EQUATIONS; WAVELETS;

INTEGRODIFFERENTIAL EQUATIONS;

EID: 33644953246     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/030602617     Document Type: Article

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