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A-posteriori estimators for elliptic and parabolic integral equations and variational inequalities
T. von Petersdorff, University of Maryland, USA
Wednesday, March 12
at 16.15
in HG E1.2
Option pricing problems with jump processes lead to a parabolic integral equation (European option) or parabolic variational inequality (American option). The solution exhibits singularities at barrier boundaries and at the exercise boundary. This makes an adaptive algorithm desirable which relies on an a-posteri error estimator. We construct an estimator which is reliable, efficiently computable, and is correctly localized to the non-contact region. Numerical results illustrate the behavior of the estimator and its potential to drive adaptive algorithms.
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