Efficientd-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations
DOI10.1080/00207160701356365zbMath1123.65035OpenAlexW2169059480MaRDI QIDQ5308814
H. bin Zubair, C. C. W. Leentvaar, Cornelis W. Oosterlee
Publication date: 8 October 2007
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160701356365
finite difference methodnumerical examplespreconditioningsparse gridsmultigrid methodcoarsening strategiesKrylov subspace methodBlack-Scholes equationanisotropic diffusion equationBi-CGSTABoption-pricing
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Iterative numerical methods for linear systems (65F10) Numerical computation of matrix norms, conditioning, scaling (65F35) Initial value problems for second-order parabolic equations (35K15) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)
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