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Fast convergence of the Coiflet-Galerkin method for general elliptic BVPs

Hani Akbari (2013)

International Journal of Applied Mathematics and Computer Science

We consider a general elliptic Robin boundary value problem. Using orthogonal Coifman wavelets (Coiflets) as basis functions in the Galerkin method, we prove that the rate of convergence of an approximate solution to the exact one is O(2−nN ) in the H 1 norm, where n is the level of approximation and N is the Coiflet degree. The Galerkin method needs to evaluate a lot of complicated integrals. We present a structured approach for fast and effective evaluation of these integrals via trivariate connection...

Fast deterministic pricing of options on Lévy driven assets

Ana-Maria Matache, Tobias Von Petersdorff, Christoph Schwab (2004)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

Arbitrage-free prices u of European contracts on risky assets whose log-returns are modelled by Lévy processes satisfy a parabolic partial integro-differential equation (PIDE) ∂ t u + 𝒜 [ u ] = 0 . This PIDE is localized to bounded domains and the error due to this localization is estimated. The localized PIDE is discretized by the θ -scheme in time and a wavelet Galerkin method with N degrees of freedom in log-price space. The dense matrix for 𝒜 can be replaced by a sparse matrix in the wavelet basis, and the linear...

Fast deterministic pricing of options on Lévy driven assets

Ana-Maria Matache, Tobias von Petersdorff, Christoph Schwab (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

Arbitrage-free prices u of European contracts on risky assets whose log-returns are modelled by Lévy processes satisfy a parabolic partial integro-differential equation (PIDE) ∂ t u + 𝒜 [ u ] = 0 . This PIDE is localized to bounded domains and the error due to this localization is estimated. The localized PIDE is discretized by the θ-scheme in time and a wavelet Galerkin method with N degrees of freedom in log-price space. The dense matrix for 𝒜 can be replaced by a sparse matrix in the wavelet basis, and the...

Haar wavelets method for solving Pocklington's integral equation

M. Shamsi, Mohsen Razzaghi, J. Nazarzadeh, Masoud Shafiee (2004)

Kybernetika

A simple and effective method based on Haar wavelets is proposed for the solution of Pocklington’s integral equation. The properties of Haar wavelets are first given. These wavelets are utilized to reduce the solution of Pocklington’s integral equation to the solution of algebraic equations. In order to save memory and computation time, we apply a threshold procedure to obtain sparse algebraic equations. Through numerical examples, performance of the present method is investigated concerning the...

Hyperbolic wavelet discretization of the two-electron Schrödinger equation in an explicitly correlated formulation

Markus Bachmayr (2012)

ESAIM: Mathematical Modelling and Numerical Analysis

In the framework of an explicitly correlated formulation of the electronic Schrödinger equation known as the transcorrelated method, this work addresses some fundamental issues concerning the feasibility of eigenfunction approximation by hyperbolic wavelet bases. Focusing on the two-electron case, the integrability of mixed weak derivatives of eigenfunctions of the modified problem and the improvement compared to the standard formulation are discussed....

Hyperbolic wavelet discretization of the two-electron Schrödinger equation in an explicitly correlated formulation

Markus Bachmayr (2012)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

In the framework of an explicitly correlated formulation of the electronic Schrödinger equation known as the transcorrelated method, this work addresses some fundamental issues concerning the feasibility of eigenfunction approximation by hyperbolic wavelet bases. Focusing on the two-electron case, the integrability of mixed weak derivatives of eigenfunctions of the modified problem and the improvement compared to the standard formulation are discussed. Elements of a discretization of the eigenvalue...

Hyperbolic wavelet discretization of the two-electron Schrödinger equation in an explicitly correlated formulation

Markus Bachmayr (2012)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

In the framework of an explicitly correlated formulation of the electronic Schrödinger equation known as the transcorrelated method, this work addresses some fundamental issues concerning the feasibility of eigenfunction approximation by hyperbolic wavelet bases. Focusing on the two-electron case, the integrability of mixed weak derivatives of eigenfunctions of the modified problem and the improvement compared to the standard formulation are discussed. Elements of a discretization of the eigenvalue...

Hyperbolic wavelet discretization of the two-electron Schrödinger equation in an explicitly correlated formulation

Markus Bachmayr (2012)

ESAIM: Mathematical Modelling and Numerical Analysis

In the framework of an explicitly correlated formulation of the electronic Schrödinger equation known as the transcorrelated method, this work addresses some fundamental issues concerning the feasibility of eigenfunction approximation by hyperbolic wavelet bases. Focusing on the two-electron case, the integrability of mixed weak derivatives of eigenfunctions of the modified problem and the improvement compared to the standard formulation are discussed....

Linear-wavelet networks

Roberto Galvão, Victor Becerra, João Calado, Pedro Silva (2004)

International Journal of Applied Mathematics and Computer Science

This paper proposes a nonlinear regression structure comprising a wavelet network and a linear term. The introduction of the linear term is aimed at providing a more parsimonious interpolation in high-dimensional spaces when the modelling samples are sparse. A constructive procedure for building such structures, termed linear-wavelet networks, is described. For illustration, the proposed procedure is employed in the framework of dynamic system identification. In an example involving a simulated...

Numerical solution of second order one-dimensional linear hyperbolic equation using trigonometric wavelets

Mahmood Jokar, Mehrdad Lakestani (2012)

Kybernetika

A numerical technique is presented for the solution of second order one dimensional linear hyperbolic equation. This method uses the trigonometric wavelets. The method consists of expanding the required approximate solution as the elements of trigonometric wavelets. Using the operational matrix of derivative, we reduce the problem to a set of algebraic linear equations. Some numerical example is included to demonstrate the validity and applicability of the technique. The method produces very accurate...

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