Quantitative Analysis
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
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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.

Riesz bases.


efinition

(Riesz basis) A collection of functions MATH is a Riesz basis for the MATH (closure taken in $L^{2}$ ) iff

(a). MATH are linearly independent,

(b). MATH such that MATH we have

MATH (Riesz frame)

Proposition

(Biorthogonality criteria 1) Let MATH . Then MATH is biorthogonal to MATH iff MATH

Proof

is similar to the proof of the proposition ( OST property 1 ).

Proposition

(Existence of biorthogonal basis 1) Assume that MATH has the property:

MATH (Frame formula 1)
Then there exists a biorthogonal basis MATH with $\tilde{\phi}$ given by MATH

Proof

Apply the proposition ( Biorthogonality criteria 1 ).

Proposition

(Frame property 1) Assume that MATH satisfies the property ( Frame formula 1 ). Then for MATH we have MATH where MATH

Proof

We have MATH hence MATH Make change $z=y+n$ and use MATH . MATH and we arrive to the desired conclusion.

Proposition

(Frame property 2)

1. Assume that function MATH satisfies the formula ( Frame formula 1 ) then there exist $A,B=const>0$ such that MATH we have

MATH (Riesz property)

2. Assume that function MATH has compact support and satisfies the formula ( Riesz property ) then it satisfies the formula ( Frame formula 1 ).

Proof

(1). For an MATH we calculate MATH MATH We use the formula ( Property of scale and transport 4 ). MATH We continue calculation of MATH The function MATH has period 1. MATH The function MATH has period 1 and the above expression is the Fourier coefficient of it. By proposition ( Parseval equality ) we have MATH We substitute the formula ( Frame formula 1 ): MATH so that MATH and use the following consequence of the proposition ( Frame property 1 ): MATH thus MATH

Proof

(2) According to the proposition ( Property of transport 2 ), the function MATH takes the form MATH for some finite sequence of real numbers MATH . For this reason we already have MATH To prove the part MATH it suffices to disprove existence of MATH such that MATH . This is so because MATH is periodic.

For MATH to vanish, every term MATH has to vanish. In other words, we aim to show that there cannot exist a $y^{\ast}$ such that MATH Suppose the contrary, there exists a MATH with the property $\left( \#\right) $ . Let $L\in\QTR{cal}{R}$ be a large parameter. We subsitute MATH into the formula ( Riesz property ): MATH We have MATH As we put MATH the LHS of MATH blows up. On the RHS we have a sum of differentiable functions of $L$ vanishing as MATH (by $\left( \#\right) $ ) and the number of terms in the sum grows linearly as MATH (by compactness of support of $\phi$ ). Hence, the RHS of MATH is bounded or smaller as MATH . We obtained a contradiction.

Proposition

(Frame property 3) Assume that functions MATH are such that

(a) $\phi$ is compactly supported,

(b) MATH is a Riesz basis for MATH ,

(c) MATH is biorthogonal to MATH .

Then

(1) $\forall f\in$ MATH MATH

(2) there exist $A,B=const>0$ such that $\forall f\in$ MATH MATH

Proof

It is enough to prove (1) and (2) for MATH . Extending to the closure is a standard exercise because all involved operations are $L^{2}$ -continuous.

Let MATH then by applying MATH we get MATH hence (1).

According to the proposition ( Biorthogonality criteria 1 ), MATH and by condition (b) and proposition ( Frame property 2 )-2, MATH for some MATH From MATH we derive MATH for some MATH .

We now apply the proposition ( Frame property 1 ): MATH By the proposition ( Parseval equality ), MATH hence (2).





Notation. Index. Contents.


















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