Spatial domain decomposition methods have been largely investigated in the last decades, while time domain decomposition seems to be contrary to intuition and so is not as popular as the former. However, many attractive methods have been proposed, especially the parareal algorithm, which showed both theoretical and experimental efficiency in the context of parallel computing. In this paper, we present an original model of asynchronous variant based on the parareal scheme, applied to the European option pricing problem. Some numerical experiments are given to illustrate the convergence performance and computational efficiency of such a method.
This paper is about GMRES algorithms for the solution of nonsingular linear systems. We first consider basic algorithms and study their convergence. We then focus on acceleration strategies and parallel algorithms that are useful for solving challenging systems. We also briefly discuss other problems, such as systems with multiple right-hand sides, shifted systems, and singular systems.
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