A Radial Basis Function Partition of Unity Collocation Method for Convection–Diffusion Equations Arising in Financial Applications

Meshfree methods based on radial basis function (RBF) approximation are of interest for numerical solution of partial differential equations (PDEs) because they are flexible with respect to geometry, they can provide high order convergence, they allow for local refinement, and they are easy to imple...

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Bibliographic Details
Published in:	Journal of scientific computing Vol. 64; no. 2; pp. 341 - 367
Main Authors:	Safdari-Vaighani, Ali, Heryudono, Alfa, Larsson, Elisabeth
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.08.2015 Springer Nature B.V
Subjects:	Accuracy Algorithms Approximation Collocation methods Computational efficiency Computational Mathematics and Numerical Analysis Computing costs Computing time Convection-diffusion equation Convergence Linear systems Mathematical analysis Mathematical and Computational Engineering Mathematical and Computational Physics Mathematical functions Mathematics Mathematics and Statistics Methods Parabolic differential equations Partial differential equations Radial basis function Spectral methods Theoretical Valuation Radial basis function MSC 65M70 MSC 35K15 American option RBF–PUM Convection–diffusion equation Partition of unity Collocation method Meshfree
ISSN:	0885-7474, 1573-7691, 1573-7691
Online Access:	Get full text
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