A multi-step iterative method for approximating fixed points of Presić-Kannan operators.
We consider the numerical approximation of a first order stationary hyperbolic equation by the method of characteristics with pseudo time step k using discontinuous finite elements on a mesh . For this method, we exhibit a “natural” norm || ||h,k for which we show that the discrete variational problem is well posed and we obtain an error estimate. We show that when k goes to zero problem (resp. the || ||h,k norm) has as a limit problem (Ph) (resp. the || ||h norm) associated to the...
A necessary and sufficient to guarantee feasibility of the interval Gaussian algorithms for a class of matrices. We apply the interval Gaussian algorithm to an interval matrix the comparison matrix of which is irreducible and diagonally dominant. We derive a new necessary and sufficient criterion for the feasibility of this method extending a recently given sufficient criterion.
2000 Mathematics Subject Classification: 91B28, 65C05.We consider the valuation of American options using Monte Carlo simulation, and propose a new technique which involves approximating the optimal exercise boundary. Our method involves splitting the boundary into a linear term and a Fourier series and using stochastic optimization in the form of a relaxation method to calculate the coefficients in the series. The cost function used is the expected value of the option using the the current estimate...
The Newton-Kantorovich hypothesis (15) has been used for a long time as a sufficient condition for convergence of Newton's method to a locally unique solution of a nonlinear equation in a Banach space setting. Recently in [3], [4] we showed that this hypothesis can always be replaced by a condition weaker in general (see (18), (19) or (20)) whose verification requires the same computational cost. Moreover, finer error bounds and at least as precise information on the location of the solution can...
This work shows an application of a generalized approach for constructing dilation-erosion adjunctions on fuzzy sets. More precisely, operations on fuzzy quantities and fuzzy numbers are considered. By the generalized approach an analogy with the well known interval computations could be drawn and thus we can define outer and inner operations on fuzzy objects. These operations are found to be useful in the control of bioprocesses, ecology and other domains where data uncertainties exist.* This work...