TWO-SCALE FINITE ELEMENT DISCRETIZATIONS FOR INTEGRODIFFERENTIAL EQUATIONS

doi:10.1216/JIE-2011-23-3-351

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 计算数学与科学工程计算研究所

	TWO-SCALE FINITE ELEMENT DISCRETIZATIONS FOR INTEGRODIFFERENTIAL EQUATIONS
	Chen, Huajie 2; Liu, Fang 3; Reich, Nils 1; Winter, Christoph 1; Zhou, Aihui2
刊名	JOURNAL OF INTEGRAL EQUATIONS AND APPLICATIONS
	2011-09-01
卷号	23 期号:3 页码:351-381
关键词	Finite elements infinitesimal generator two-scale discretization wavelets
ISSN号	0897-3962
DOI	10.1216/JIE-2011-23-3-351
英文摘要	In this paper we propose and analyze a number of two-scale discretization schemes for integrodifferential equations arising in finance. It is shown theoretically and numerically that the number of degrees of freedom of the two-scale discretization is significantly smaller than that of the standard one-scale finite element approach while at the same time preserving the accuracy of the one-scale discretization. The main idea of these algorithms is to use a coarse grid to approximate the low frequencies and then to use a fine grid to correct the relatively high frequencies. As a result, both the computational time and the storage can be reduced considerably. A combination of wavelet and Lagrangian finite element basis functions is applied to further reduce the complexity arising from the non-locality of the integrodifferential operators.
资助项目	National Natural Science Foundation of China[10701083] ; National Natural Science Foundation of China[10871198] ; National Natural Science Foundation of China[10971059] ; National Natural Science Foundation of China[11071265] ; National Basic Research Program of China[2005CB321704] ; Huber Kudlich Foundation of ETH Zurich
WOS研究方向	Mathematics
语种	英语
出版者	ROCKY MT MATH CONSORTIUM
WOS记录号	WOS:000295811100001
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/11731]
专题	计算数学与科学工程计算研究所
通讯作者	Reich, Nils
作者单位	1.ETH, CH-8092 Zurich, Switzerland 2.Chinese Acad Sci, LSEC, Inst Computat Math & Sci Engn Comp, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Cent Univ Finance & Econ, Sch Appl Math, Beijing 100081, Peoples R China
推荐引用方式 GB/T 7714	Chen, Huajie,Liu, Fang,Reich, Nils,et al. TWO-SCALE FINITE ELEMENT DISCRETIZATIONS FOR INTEGRODIFFERENTIAL EQUATIONS[J]. JOURNAL OF INTEGRAL EQUATIONS AND APPLICATIONS,2011,23(3):351-381.
APA	Chen, Huajie,Liu, Fang,Reich, Nils,Winter, Christoph,&Zhou, Aihui.(2011).TWO-SCALE FINITE ELEMENT DISCRETIZATIONS FOR INTEGRODIFFERENTIAL EQUATIONS.JOURNAL OF INTEGRAL EQUATIONS AND APPLICATIONS,23(3),351-381.
MLA	Chen, Huajie,et al."TWO-SCALE FINITE ELEMENT DISCRETIZATIONS FOR INTEGRODIFFERENTIAL EQUATIONS".JOURNAL OF INTEGRAL EQUATIONS AND APPLICATIONS 23.3(2011):351-381.