Approximation of the Snell envelope and american options prices in dimension one [PDF]
, 2001 . We establish some error estimates for the approximation of an optimal stopping problem along the paths of the Black{Scholes model. This approximation is based on a tree method.
Bruno Saussereau +3 more
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An optimized SPDMFE extrapolation approach based on the POD technique for 2D viscoelastic wave equation [PDF]
, 2017 An optimized splitting positive definite mixed finite element (SPDMFE) extrapolation approach based on proper orthogonal decomposition (POD) technique is developed for the two-dimension viscoelastic wave equation (2DVWE).
Luo, Zhendong +3 more
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Numerical approximation of the maximal solutions for a class of degenerate Hamilton-Jacobi equations [PDF]
, 2000 : In this paper we study an approximation scheme for a class of Hamilton-Jacobi problems for which uniqueness of the viscosity solution does not hold. This class includes the Eikonal equation arising in the Shape from Shading problem. We show that, if an
Grüne, Lars +4 more
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Error Analysis of Numerical Schemes for the Wave Equation in Heterogeneous Media
, 1993 A family of finite difference schemes for the acoustic wave equation in heterogeneous media is introduced. The precision and computational cost are analyzed in two cases. First, a two layered medium is considered.
William Symes, Alain Sei, W. W Symes
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An Adaptive Discontinuous Finite Element Method for the Transport Equation.
, 1991 In this paper we introduce a discontinuous finite element method. In our approach, it is possible to combine the advantages of finite element and finite difference methods.
Lang, Jens, Walter, Artur
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Discontinuous Galerkin Immersed Finite Element Methods for Parabolic Interface Problems∗
, 2016 In this article, interior penalty discontinuous Galerkin methods using immersed finite element functions are employed to solve parabolic interface problems. Typical semi-discrete and fully discrete schemes are presented and analyzed.
Qing Yang, Xu Zhang
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An Analysis of New Mixed Finite Elements for the Approximation of Wave Propagation Problems
, 2000 We construct and analyze a new family of rectangular (two-dimensional) or cubic (three-dimensional) mixed finite elements for the approximation of the acoustic wave equations.
P. Joly, C. Tsogka, E. Becache
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Adaptive Solution of One-Dimensional Scalar Conservation Laws with Convex Flux.
, 1992 A new adaptive approach for one-dimensional scalar conservation laws with convex flux is proposed. The initial data are approximated on an adaptive grid by a problem dependent, monotone interpolation procedure in such a way, that the multivalued problem ...
Bornemann, Folkmar A.
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Linear Partial Differential Algebraic Equations - Part II: Numerical Solution
, 1997 . We consider the numerical solution of linear partial differential algebraic equations (PDAEs) of the general type Au t (t; x) +Bu xx (t; x) +Cu(t; x) = f(t; x) (where A; B; C are constant (n \Theta n)\Gammamatrices) by means of the method of lines ...
K. Strehmel +8 more
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An Error Estimator for a Finite Volume Discretization of Density Driven Flow in Porous Media
, 1998 : A theory of a posteriori error estimation for initial-value problems for nonlinear systems of partial differential equations is presented. The theoretical conclusions are applied to a specific problem arising in the theory of flows in porous media. The
Lutz Angermann +2 more
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