This paper develops a method to flexibly adapt interpolation grids of value function approximations in the estimation of dynamic models using either NFXP (Rust, 1987) or MPEC (Su and Judd, 2012). Since MPEC requires the grid structure for the value function approximation to be hard-coded into...

In this manuscript, we develop a multilevel framework for the pricing of a European call option based on multiresolution techniques. In this approach, the Black–Scholes equation is transformed via finite differences into a system of linear equations, where the form of the implicit operator is...

We present a new adaptive-harmonic structured grid generation method. It is based on a functional that shares a common set of minimizers with Ivanenko’s harmonic functional [A.A. Charakhch’yan, S.A. Ivanenko, Curvilinear grids of convex quadrilaterals, Comput. Maths. Math. Phys. 28(2) (1988)...

In the early days of computing, geophysical fluid dynamics (GFD), predominantly numerical weather prediction (NWP), was a dominant factor in the design of computer architecture and algorithms. This early work focused initially on finite difference algorithms on rectangular computational grids...