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I. Basic math.
II. Pricing and Hedging.
III. Explicit techniques.
IV. Data Analysis.
V. Implementation tools.
VI. Basic Math II.
VII. Implementation tools II.
1. Calculational Linear Algebra.
2. Wavelet Analysis.
A. Elementary definitions of wavelet analysis.
B. Haar functions.
C. Multiresolution analysis.
D. Orthonormal wavelet bases.
E. Discrete wavelet transform.
F. Construction of MRA from scaling filter or auxiliary function.
G. Consequences and conditions for vanishing moments of wavelets.
H. Existence of smooth compactly supported wavelets. Daubechies polynomials.
I. Semi-orthogonal wavelet bases.
a. Biorthogonal bases.
b. Riesz bases.
c. Generalized multiresolution analysis.
d. Dual generalized multiresolution analysis.
e. Dual wavelets.
f. Orthogonality across scales.
g. Biorthogonal QMF conditions.
h. Vanishing moments for biorthogonal wavelets.
i. Compactly supported smooth biorthogonal wavelets.
j. Spline functions.
k. Calculation of spline biorthogonal wavelets.
l. Symmetric biorthogonal wavelets.
J. Construction of (G)MRA and wavelets on an interval.
3. Finite element method.
4. Construction of approximation spaces.
5. Time discretization.
6. Variational inequalities.
VIII. Bibliography
Notation. Index. Contents.

Generalized multiresolution analysis.


efinition

(Generalized multiresolution analysis) We call "generalized multiresolution analysis" (GMRA) the sequence of subspaces MATH , MATH with the following properties.

1. MATH

2. MATH , MATH .

3. MATH

4. MATH

5. MATH such that MATH and MATH is a Riesz basis.

The closures are taken in $L^{2}$ -norm.

See the definition ( Scale and transport operators 2 ) for $T_{k}^{\ast}$ and $S_{d}^{\ast}$ . The function $\phi$ is called the "scaling function".

Proposition

(GMRA Riesz bases) For each $d\in\QTR{cal}{Z}$ the set MATH is a Riesz basis for $V_{d}$ . See the definition ( Approximation and detail operators ) for the notation $\phi_{d,k}$ .

Proof

Combine definition ( Generalized multiresolution analysis )-4 and formula ( Property of scale and transport 2 ).

Proposition

(Scaling equation 4) The proposition ( Scaling equation ) extends to GMRA without changes.

Proof

See the proof of the proposition ( Scaling equation ).





Notation. Index. Contents.


















Copyright 2007