Title :
Fast and High Accuracy Numerical Methods for Solving PDEs in Computational Finance
Author :
Wang, Yin ; Hua, Kun ; Zhang, Jun
Author_Institution :
Dept. of Math. & Comput. Sci., Lawrence Technol. Univ., Southfield, MI, USA
Abstract :
We develop a new W-cycle multiscale multigrid method that can use the existing multilevel (different scale) grid hierarchy to approximate the sixth order solution of Poisson equation based on the fourth order discretization schemes. Richardson extrapolation procedure is used on the fine grid level in multigrid method. Numerical results are conducted to show the solution accuracy and the computational efficiency of our new method, compared to Wang-Zhang´s sixth order multiscale multigrid method using V-cycle.
Keywords :
Poisson equation; computational complexity; extrapolation; financial management; PDE; Poisson equation; Richardson extrapolation procedure; V-cycle; W-cycle multiscale multigrid method; Wang-Zhang´s sixth order multiscale multigrid method; computational efficiency; computational finance; different scale grid hierarchy; fourth order discretization schemes; grid level; multilevel grid hierarchy; numerical methods; Accuracy; Equations; Extrapolation; Interpolation; Multigrid methods; Poisson equations; Program processors; Poisson equation; W-cycle; multigrid method;
Conference_Titel :
Business Computing and Global Informatization (BCGIN), 2011 International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4577-0788-9
Electronic_ISBN :
978-0-7695-4464-9
DOI :
10.1109/BCGIn.2011.84
