zbMATH — the first resource for mathematics

Examples
Geometry Search for the term Geometry in any field. Queries are case-independent.
Funct* Wildcard queries are specified by * (e.g. functions, functorial, etc.). Otherwise the search is exact.
"Topological group" Phrases (multi-words) should be set in "straight quotation marks".
au: Bourbaki & ti: Algebra Search for author and title. The and-operator & is default and can be omitted.
Chebyshev | Tschebyscheff The or-operator | allows to search for Chebyshev or Tschebyscheff.
"Quasi* map*" py: 1989 The resulting documents have publication year 1989.
so: Eur* J* Mat* Soc* cc: 14 Search for publications in a particular source with a Mathematics Subject Classification code (cc) in 14.
"Partial diff* eq*" ! elliptic The not-operator ! eliminates all results containing the word elliptic.
dt: b & au: Hilbert The document type is set to books; alternatively: j for journal articles, a for book articles.
py: 2000-2015 cc: (94A | 11T) Number ranges are accepted. Terms can be grouped within (parentheses).
la: chinese Find documents in a given language. ISO 639-1 language codes can also be used.

Operators
a & b logic and
a | b logic or
!ab logic not
abc* right wildcard
"ab c" phrase
(ab c) parentheses
Fields
any anywhere an internal document identifier
au author, editor ai internal author identifier
ti title la language
so source ab review, abstract
py publication year rv reviewer
cc MSC code ut uncontrolled term
dt document type (j: journal article; b: book; a: book article)
Efficient solution of a partial integro-differential equation in finance. (English) Zbl 1155.65109
Summary: Jump-diffusion models for the pricing of derivatives lead under certain assumptions to partial integro-differential equations (PIDE). Such a PIDE typically involves a convection term and a non-local integral. We transform the PIDE to eliminate the convection term, discretize it implicitly, and use finite differences on a uniform grid. The resulting dense linear system exhibits so much structure that it can be solved very efficiently by a circulant preconditioned conjugate gradient method. Therefore, this fully implicit scheme requires only on the order of O(nlogn) operations. Second order accuracy is obtained numerically on the whole computational domain for R. C. Merton’s model [J. Financ. Econ. 3, No. 1–2, 125–144 (1976; Zbl 1131.91344)].
MSC:
65R20Integral equations (numerical methods)
45K05Integro-partial differential equations
91B28Finance etc. (MSC2000)