Mathematics – Numerical Analysis
Scientific paper
2008-07-09
Mathematics
Numerical Analysis
28 pages
Scientific paper
We consider regular polynomial interpolation algorithms on recursively defined sets of interpolation points which approximate global solutions of arbitrary well-posed systems of linear partial differential equations. Convergence of the 'limit' of the recursively constructed family of polynomials to the solution and error estimates are obtained from a priori estimates for some standard classes of linear partial differential equations, i.e. elliptic and hyperbolic equations. Another variation of the algorithm allows to construct polynomial interpolations which preserve systems of linear partial differential equations at the interpolation points. We show how this can be applied in order to compute higher order terms of WKB-approximations of fundamental solutions of a large class of linear parabolic equations. The error estimates are sensitive to the regularity of the solution. Our method is compatible with recent developments for solution of higher dimensional partial differential equations, i.e. (adaptive) sparse grids, and weighted Monte-Carlo, and has obvious applications to mathematical finance and physics.
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