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- W2108369087 abstract "For a class of anisotropic integrodifferential operators arising as semigroup generators of Markov processes, we present a sparse tensor product wavelet compression scheme for the Galerkin finite element discretization of the corresponding integrodifferential equations u = f on [0,1]n with possibly large n. Under certain conditions on , the scheme is of essentially optimal and dimension independent complexity (h-1| log h |2(n-1)) without corrupting the convergence or smoothness requirements of the original sparse tensor finite element scheme. If the conditions on are not satisfied, the complexity can be bounded by (h-(1+ε)), where ε tends to zero with increasing number of the wavelets' vanishing moments. Here h denotes the width of the corresponding finite element mesh. The operators under consideration are assumed to be of non-negative (anisotropic) order and admit a non-standard kernel κ that can be singular on all secondary diagonals. Practical examples of such operators from Mathematical Finance are given and some numerical results are presented." @default.
- W2108369087 created "2016-06-24" @default.
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- W2108369087 date "2009-10-09" @default.
- W2108369087 modified "2023-10-11" @default.
- W2108369087 title "Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces" @default.
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- W2108369087 doi "https://doi.org/10.1051/m2an/2009039" @default.
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