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Wavelet Galerkin schemes for multidimensional anisotropic integrodifferential operators

by C. Winter

(Report number 2009-19)

Abstract
We consider a wavelet Galerkin scheme for solving partial integrodifferential equations arising from option pricing in multidimensional Lévy models. Sparse tensor product spaces are applied or the discretization to reduce the complexity in the number of degrees of freedom and wavelet compression methods are used to decrease the number of non-zero matrix entries. We focus on algorithmic details of the scheme, in particular on the numerical integration of the matrix coefficients.

Keywords: Composite Gauss quadrature, multivariate Lévy models, wavelets

@Techreport{W09_406,
  author = {C. Winter},
  title = {Wavelet Galerkin schemes for multidimensional anisotropic integrodifferential operators},
  institution = {Seminar for Applied Mathematics, ETH Z{\"u}rich},
  number = {2009-19},
  address = {Switzerland},
  url = {https://www.sam.math.ethz.ch/sam_reports/reports_final/reports2009/2009-19.pdf },
  year = {2009}
}

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