GMRES: a generalized minimal residual algorithm for solving nonsymmetric linear systems
SIAM Journal on Scientific and Statistical Computing
Multiwavelets for Second-Kind Integral Equations
SIAM Journal on Numerical Analysis
Wavelet Galerkin Schemes for Boundary Integral Equations---Implementation and Quadrature
SIAM Journal on Scientific Computing
Compression Techniques for Boundary Integral Equations---Asymptotically Optimal Complexity Estimates
SIAM Journal on Numerical Analysis
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We consider a wavelet Galerkin scheme for solving partial integrodifferential equations arising from option pricing in multidimensional Lévy models. Sparse tensor product spaces are applied for the discretization to reduce the complexity in the number of degrees of freedom, and wavelet compression methods are used to decrease the number of nonzero matrix entries. We focus on algorithmic details of the scheme, in particular on the numerical integration of the matrix coefficients.