Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces
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...