Displaying similar documents to “Adaptive frame methods with cubic spline-wavelet bases”

Valuation of two-factor options under the Merton jump-diffusion model using orthogonal spline wavelets

Černá, Dana

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This paper addresses the two-asset Merton model for option pricing represented by non-stationary integro-differential equations with two state variables. The drawback of most classical methods for solving these types of equations is that the matrices arising from discretization are full and ill-conditioned. In this paper, we first transform the equation using logarithmic prices, drift removal, and localization. Then, we apply the Galerkin method with a recently proposed orthogonal cubic...

Application of cubic box spline wavelets in the analysis of signal singularities

Waldemar Rakowski (2015)

International Journal of Applied Mathematics and Computer Science

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In the subject literature, wavelets such as the Mexican hat (the second derivative of a Gaussian) or the quadratic box spline are commonly used for the task of singularity detection. The disadvantage of the Mexican hat, however, is its unlimited support; the disadvantage of the quadratic box spline is a phase shift introduced by the wavelet, making it difficult to locate singular points. The paper deals with the construction and properties of wavelets in the form of cubic box splines...

Quantitative properties of quadratic spline wavelet bases in higher dimensions

Černá, Dana, Finěk, Václav, Šimůnková, Martina

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To use wavelets efficiently to solve numerically partial differential equations in higher dimensions, it is necessary to have at one’s disposal suitable wavelet bases. Ideal wavelets should have short supports and vanishing moments, be smooth and known in closed form, and a corresponding wavelet basis should be well-conditioned. In our contribution, we compare condition numbers of different quadratic spline wavelet bases in dimensions d = 1, 2 and 3 on tensor product domains (0,1)^d. ...

Wavelet bases for the biharmonic problem

Bímová, Daniela, Černá, Dana, Finěk, Václav

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In our contribution, we study different Riesz wavelet bases in Sobolev spaces based on cubic splines satisfying homogeneous Dirichlet boundary conditions of the second order. These bases are consequently applied to the numerical solution of the biharmonic problem and their quantitative properties are compared.

Estimation of a smoothness parameter by spline wavelets

Magdalena Meller, Natalia Jarzębkowska (2013)

Applicationes Mathematicae

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We consider the smoothness parameter of a function f ∈ L²(ℝ) in terms of Besov spaces B 2 , ∞ s ( ℝ ) , s * ( f ) = s u p s > 0 : f ∈ B 2 , ∞ s ( ℝ ) . The existing results on estimation of smoothness [K. Dziedziul, M. Kucharska and B. Wolnik, J. Nonparametric Statist. 23 (2011)] employ the Haar basis and are limited to the case 0 < s*(f) < 1/2. Using p-regular (p ≥ 1) spline wavelets with exponential decay we extend them to density functions with 0 < s*(f) < p+1/2. Applying the Franklin-Strömberg wavelet p = 1, we prove that the...