Tobias von Petersdorff

Learn More
We consider elliptic and parabolic variational equations and inequalities governed by integro-differential operators of order 2s ∈ (0, 2]. Our main motivation is the pricing of European or American options under Lévy processes, in particular pure jump processes or jump diffusion processes with tempered stable processes. The problem is discretized using(More)
Galerkin discretizations of integral operators in ℝ d $\mathbb {R}^{d}$ require an accurate numerical evaluation of integrals I = ∫ S ( 1 ) ∫ S ( 2 ) f ( x , y ) dydx $I={\int }_{\!\!S^{(1)}}{\int }_{\!\!S^{(2)}}f(x,y)dydx$ where S (1), S (2) are d-simplices and the integrand function f has a possibly nonintegrable singularity at x = y. In a previous paper(More)
  • 1