Displaying similar documents to “A good approximation of the inventory level in a (Q, r) perishable inventory system ”

Greedy Algorithms for Adaptive Approximation

Albert Cohen (2009)

Bollettino dell'Unione Matematica Italiana

Similarity:

We discuss the performances of greedy algorithms for two problems of numerical approximation. The first one is the best approximation of an arbitrary function by an N-terms linear combination of simple functions adaptively picked within a large dictionary. The second one is the approximation of an arbitrary function by a piecewise polynomial function on an optimally adapted triangulation of cardinality N. Performance is measured in terms of convergence rate with respect to the number...

Analytical approximation of the transition density in a local volatility model

Stefano Pagliarani, Andrea Pascucci (2012)

Open Mathematics

Similarity:

We present a simplified approach to the analytical approximation of the transition density related to a general local volatility model. The methodology is sufficiently flexible to be extended to time-dependent coefficients, multi-dimensional stochastic volatility models, degenerate parabolic PDEs related to Asian options and also to include jumps.