Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces
DOI10.1051/m2an/2009039zbMath1189.65311OpenAlexW2108369087MaRDI QIDQ3551497
Publication date: 15 April 2010
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/44626
complexityconvergencesparse gridsnorm equivalencesfinancial mathematicswavelet compressionpartial integrodifferential equationsanisotropic integrodifferential operators
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Numerical methods for wavelets (65T60)
Related Items (2)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On Kolmogorov equations for anisotropic multivariate Lévy processes
- Numerical methods for Lévy processes
- Anisotropic operator symbols arising from multivariate jump processes
- Wavelets with complementary boundary conditions -- functions spaces on the cube
- A symbolic calculus for pseudo differential operators generating Feller semigroups
- Biorthogonal spline wavelets on the interval -- stability and moment conditions
- A general version of the fundamental theorem of asset pricing
- Sparse grids for boundary integral equations
- Adaptive wavelet methods. II: Beyond the elliptic case
- Theory and practice of finite elements.
- Wavelet approximation methods for pseudodifferential equations. II: Matrix compression and fast solution
- The variance-optimal martingale measure for continuous processes
- A note on the complexity of solving Poisson's equation for spaces of bounded mixed derivatives
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Biorthogonal wavelet bases for the boundary element method
- Optimized general sparse grid approximation spaces for operator equations
- Fast wavelet transforms and numerical algorithms I
- Wavelet Galerkin pricing of American options on Lévy driven assets
- Computation of differential operators in wavelet coordinates
- An optimal adaptive wavelet method without coarsening of the iterands
- Biorthogonal bases of compactly supported wavelets
- Multiwavelets for Second-Kind Integral Equations
- Variational Analysis for the Black and Scholes Equation with Stochastic Volatility
- Wavelet Discretizations of Parabolic Integrodifferential Equations
- Adaptive wavelet methods for elliptic operator equations: Convergence rates
- Integral Operators on Sparse Grids
- Exponential Hedging and Entropic Penalties
- On the Compressibility of Operators in Wavelet Coordinates
- Finite-element wavelets on manifolds
- Financial Modelling with Jump Processes
- 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
- Adaptive wavelet algorithms for elliptic PDE's on product domains
- Wavelet Galerkin Schemes for Boundary Integral Equations---Implementation and Quadrature
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- Compression Techniques for Boundary Integral Equations---Asymptotically Optimal Complexity Estimates
- Multiscale Analysis for Jump Processes in Finance
- Numerical Procedure for Calibration of Volatility with American Options
This page was built for publication: Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces
