A unified discontinuous Galerkin framework for time integration
نویسندگان
چکیده
منابع مشابه
Option pricing using the discontinuous Galerkin method for time integration
The discontinuous Galerkin (dG) method for time integration of the parabolic problem obtained when pricing options using the BlackScholes partial di↵erential equation is presented. By decoupling of the large system of equations needed to be solved in each time step, the time of computation and memory requirement is significantly reduced. Even though there is a discontinuity in the first derivat...
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ژورنال
عنوان ژورنال: Mathematical Methods in the Applied Sciences
سال: 2013
ISSN: 0170-4214
DOI: 10.1002/mma.2863