A “Parareal” Time Discretization for Non-Linear PDE’s with Application to the Pricing of an American Put

By Guillaume Bal, Yvon Maday. 2002

170 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Numerical Analysis, Statistical and Nonlinear Physics

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computational Theory and Mathematics

1. Tony Lelièvre
2. Giovanni Samaey
3. Frédéric Legoll
4. Beth A. Wingate
5. Terry S. Haut

In Numerical Analysis

1. Tony Lelièvre
2. Giovanni Samaey
3. Frédéric Legoll
4. Beth A. Wingate
5. Terry S. Haut

In Statistical and Nonlinear Physics

1. Tony Lelièvre
2. Giovanni Samaey
3. Frédéric Legoll

Citations in the corpus

• A Micro-Macro Parareal Algorithm: Application to Singularly Perturbed Ordinary Differential Equations (2012, methodology): “We refer to [14] for a reformulation in a more general setting that relates the parareal strategy to earlier time-parallel algorithms, such as multiple shooting (see e.g. [21, 33]) or multigrid waveform relaxation (see e.g. [27, 36]) approaches.”