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math.NA2026
Schwarz Modulus Based Matrix Splittings with Minimal Polynomial Extrapolation Acceleration for linear complementarity problems arising from American option pricing
Martin J. Gande, Si-Wei Liao, Liu-Di Lu
Pricing American options is more complicated than pricing European options, because they can be exercised at any time, and one thus needs to solve a linear complementarity problem…
math.NA2024
Non-overlapping Schwarz methods in time for parabolic optimal control problems
Martin Jakob Gander, Liu-Di Lu
We present here the classical Schwarz method with a time domain decomposition applied to unconstrained parabolic optimal control problems. Unlike Dirichlet-Neumann and Neumann-Neum…
math.NA2024
New time domain decomposition methods for parabolic optimal control problems II: Neumann-Neumann algorithms
Martin Jakob Gander, Liu-Di Lu
We present new Neumann-Neumann algorithms based on a time domain decomposition applied to unconstrained parabolic optimal control problems. After a spatial semi-discretization, the…