A new class of fredholm integral equations of the second kind with non symmetric kernel: solving by wavelets method

In this paper, we present an ecient modication of the wavelets method to solve a new class of Fredholm integral equations of the second kind with non symmetric kernel. This -analytical method based on orthonormal wavelet basis, as a consequence three systems are obtained, a Toeplitz system and two systems with condition number close to 1. Since the preconditioned conjugate gradient normal equation residual (CGNR) and preconditioned conjugate gradient normal equation error (CGNE) methods are applicable, we can solve the systems in O(2n log(n)) operations, by using the fast wavelet transform and the fast Fourier transform.

Tri-Diagonal Preconditioner for Toeplitz Systems from Finance

We consider a nonsymmetric Toeplitz system which arises in the discretization of a partial integro-differential equation in option pricing problems. The preconditioned conjugate gradient method with a tri-diagonal preconditioner is used to solve this system. Theoretical analysis shows that under certain conditions the tri-diagonal preconditioner leads to a superlinear convergence rate. Numerical results exemplify our theoretical analysis.