TWO-SCALE FINITE ELEMENT DISCRETIZATIONS FOR INTEGRODIFFERENTIAL EQUATIONS
文献类型：期刊论文
| 作者 | Chen, Huajie2; Liu, Fang3; Reich, Nils1; Winter, Christoph1; Zhou, Aihui2
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| 刊名 | JOURNAL OF INTEGRAL EQUATIONS AND APPLICATIONS
 |
| 出版日期 | 2011-09-01 |
| 卷号 | 23期号:3页码:351-381 |
| 关键词 | Finite elements infinitesimal generator two-scale discretization wavelets |
| ISSN号 | 0897-3962 |
| DOI | 10.1216/JIE-2011-23-3-351 |
| 英文摘要 | In this paper we propose and analyze a number of two-scale discretization schemes for integrodifferential equations arising in finance. It is shown theoretically and numerically that the number of degrees of freedom of the two-scale discretization is significantly smaller than that of the standard one-scale finite element approach while at the same time preserving the accuracy of the one-scale discretization. The main idea of these algorithms is to use a coarse grid to approximate the low frequencies and then to use a fine grid to correct the relatively high frequencies. As a result, both the computational time and the storage can be reduced considerably. A combination of wavelet and Lagrangian finite element basis functions is applied to further reduce the complexity arising from the non-locality of the integrodifferential operators. |
| 资助项目 | National Natural Science Foundation of China[10701083] ; National Natural Science Foundation of China[10871198] ; National Natural Science Foundation of China[10971059] ; National Natural Science Foundation of China[11071265] ; National Basic Research Program of China[2005CB321704] ; Huber Kudlich Foundation of ETH Zurich |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000295811100001 |
| 出版者 | ROCKY MT MATH CONSORTIUM |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/11731]  |
| 专题 | 计算数学与科学工程计算研究所 |
| 通讯作者 | Reich, Nils |
| 作者单位 | 1.ETH, CH-8092 Zurich, Switzerland 2.Chinese Acad Sci, LSEC, Inst Computat Math & Sci Engn Comp, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Cent Univ Finance & Econ, Sch Appl Math, Beijing 100081, Peoples R China |
| 推荐引用方式 GB/T 7714 | Chen, Huajie,Liu, Fang,Reich, Nils,et al. TWO-SCALE FINITE ELEMENT DISCRETIZATIONS FOR INTEGRODIFFERENTIAL EQUATIONS[J]. JOURNAL OF INTEGRAL EQUATIONS AND APPLICATIONS,2011,23(3):351-381. |
| APA | Chen, Huajie,Liu, Fang,Reich, Nils,Winter, Christoph,&Zhou, Aihui.(2011).TWO-SCALE FINITE ELEMENT DISCRETIZATIONS FOR INTEGRODIFFERENTIAL EQUATIONS.JOURNAL OF INTEGRAL EQUATIONS AND APPLICATIONS,23(3),351-381. |
| MLA | Chen, Huajie,et al."TWO-SCALE FINITE ELEMENT DISCRETIZATIONS FOR INTEGRODIFFERENTIAL EQUATIONS".JOURNAL OF INTEGRAL EQUATIONS AND APPLICATIONS 23.3(2011):351-381. |
入库方式： OAI收割
来源：数学与系统科学研究院
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