Sparse Wavelet Representation of Differential Operators with Piecewise Polynomial Coefficients

Abstract
We propose a construction of a Hermite cubic spline-wavelet basis on the interval and hypercube. The basis is adapted to homogeneous Dirichlet boundary conditions. The wavelets are orthogonal to piecewise polynomials of degree at most seven on a uniform grid. Therefore, the wavelets have eight vanishing moments, and the matrices arising from discretization of differential equations with coefficients that are piecewise polynomials of degree at most four on uniform grids are sparse. Numerical examples demonstrate the efficiency of an adaptive wavelet method with the constructed wavelet basis for solving the one-dimensional elliptic equation and the two-dimensional Black–Scholes equation with a quadratic volatility.
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Subject(s)
Riesz basis, wavelet, spline, interval, differential equation, sparse matrix, Black–Scholes equation
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