A Kernel-Based Algorithm for Numerical Solution of Nonlinear PDEs in Finance.

Miglena N. Koleva Lubin G. Vulkov

Published in: LSSC (2011)

Keyphrases

numerical solution
computational complexity
np hard
dynamic programming
partial differential equations
particle swarm optimization
linear systems
cost function
objective function
optimal solution
search space
linear programming
level set
multiscale
higher order
segmentation algorithm