Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance

  • Authors:

  • Ana-Maria Matache;Christoph Schwab;Thomas P. Wihler

  • Affiliations:

  • -;-;-

  • Venue:
  • SIAM Journal on Scientific Computing
  • Year:
  • 2005

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Abstract

We numerically solve parabolic problems $u_t+\cA u=0$ in $(0,T)\times\Omega$, $T