Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
Wihler, Thomas P.
- Journal Article
Journal / seriesSIAM Journal on Scientific Computing
Pages / Article No.
SubjectParabolic equations; Integrodifferential operators; Discontinuous Galerkin methods; Wavelets; Matrix compression; GMRES; Levy processes; Markov processes
NotesReceived 19 February 2003, Accepted for publication (in revised form) 22 November 2004, Published electronically 23 September 2005.
MoreShow all metadata