B‐Spline‐Based Monotone Multigrid Methods

DOI10.1137/050642575zbMath1145.65042OpenAlexW2042239278MaRDI QIDQ3507508

Markus Holtz, Angela Kunoth

Publication date: 19 June 2008

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

Full work available at URL: https://doi.org/10.1137/050642575

zbMATH Keywords

numerical exampleconvergence ratesvariational inequalitypricingAmerican optionsystem of linear inequalitiesoptimal complexitylinear complementary problemGauss-Seidel relaxationcardinal higher order B-splinemonotone multigrid methodoptimized coarse grid correction algorithm

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Numerical optimization and variational techniques (65K10) Variational inequalities (49J40) Decomposition methods (49M27)

Related Items

Numerical methods for dynamic Bertrand oligopoly and American options under regime switching ⋮ Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing ⋮ Scalable Convergence Using Two-Level Deflation Preconditioning for the Helmholtz Equation ⋮ Cubic spline method for a generalized Black-Scholes equation ⋮ BPX-preconditioning for isogeometric analysis ⋮ Multiscale methods for the valuation of American options with stochastic volatility ⋮ Multilevel Preconditioning for Variational Problems