Volume 44, Number 1, January-February 2010
|Page(s)||33 - 73|
|Published online||09 October 2009|
Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces
ETH Zurich, Seminar for Applied Mathematics, 8092 Zurich, Switzerland. email@example.com
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 of the original sparse tensor finite element scheme. If the conditions on are not satisfied, the complexity can be bounded by (h-(1+ε)), where ε tends to zero with increasing number of the wavelets' vanishing moments. Here h denotes the width of the corresponding finite element mesh. The operators under consideration are assumed to be of non-negative (anisotropic) order and admit a non-standard kernel κ that can be singular on all secondary diagonals. Practical examples of such operators from Mathematical Finance are given and some numerical results are presented.
Mathematics Subject Classification: 47A20 / 65F50 / 65N12 / 65Y20 / 68Q25 / 45K05 / 65N30
Key words: Wavelet compression / sparse grids / anisotropic integrodifferential operators / norm equivalences
© EDP Sciences, SMAI, 2009
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