In this paper, we present a Galerkin method for Abel-type integral equation with a general class of kernel. Stability and quasi-optimal convergence estimates are derived in fractional-order Sobolev norms. The fully-discrete Galerkin method is defined by employing simple tensor-Gauss quadrature. We develop a corresponding perturbation analysis which allows to keep the number of quadrature points small. Numerical experiments have been performed which illustrate the sharpness of the theoretical estimates and the sensitivity of the solution with respect to some parameters in the equation.
Integral equation methods are now becoming well‐established tools in the study of financial models used in theory and practice. In this paper, we investigate the fully nonlinear weakly singular nonstandard Volterra integral equations representing the early exercise boundary of American option contracts, which gained popularity in recent years. We propose a product integration approach based on linear barycentric rational interpolation to solve the problem. The price of the option will then be computed using the obtained approximation of the early exercise boundary and a barycentric rational quadrature. The convergence of the approximation scheme will also be analyzed. Finally, some numerical experiments based on the introduced method are presented and compared with some exiting approaches.
In this paper, we present a collocation method for nonlinear Volterra integral equation of the first kind. This method benefits from the idea of hp-version projection methods. We provide an approximation based on the Legendre polynomial interpolation. The convergence of the proposed method is completely studied and an error estimate under the L 2 -norm is provided. Finally, several numerical experiments are presented in order to verify the obtained theoretical results.
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