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We analyze the regularity of random entropy solutions to scalar hyperbolic conservation laws with random initial data. We prove regularity theorems for statistics of random entropy solutions like expectation, variance, space-time correlation functions and polynomial moments such as gPC coefficients. We show how regularity of such moments (statistical and polynomial chaos) of random entropy solutions depends on the regularity of the distribution law of the random shock location of the initial data....

In this work, we analyze hierarchic $hp$-finite element discretizations of the full, three-dimensional plate problem. Based on two-scale asymptotic expansion of the three-dimensional solution, we give specific mesh design principles for the $hp$-FEM which allow to resolve the three-dimensional boundary layer profiles at robust, exponential rate. We prove that, as the plate half-thickness $\epsilon$ tends to zero, the $hp$-discretization is consistent with the three-dimensional solution to any power of $\epsilon$ in the energy...

In this work, we analyze hierarchic -finite element discretizations of the full, three-dimensional plate problem. Based on two-scale asymptotic expansion of the three-dimensional solution, we give specific mesh design principles for the -FEM which allow to resolve the three-dimensional boundary layer profiles at robust, exponential rate. We prove that, as the plate half-thickness tends to zero, the -discretization is consistent with the three-dimensional solution to any power of in the energy...

The convergence of a two-scale FEM for elliptic problems in divergence form with coefficients and geometries oscillating at length scale $\epsilon \ll 1$ is analyzed. Full elliptic regularity independent of $\epsilon$ is shown when the solution is viewed as mapping from the slow into the fast scale. Two-scale FE spaces which are able to resolve the $\epsilon$ scale of the solution with work independent of $\epsilon$ and without analytical homogenization are introduced. Robust in $\epsilon$ error estimates for the two-scale FE spaces are proved....

We consider the numerical solution of diffusion problems in $(0,T)\times \Omega$ for $\Omega \subset {ℝ}^d$ and for $T\>0$ in dimension $d\ge 1$. We use a wavelet based sparse grid space discretization with mesh-width $h$ and order $p\ge 1$, and $hp$ discontinuous Galerkin time-discretization of order $r=O\left(\left|logh\right|\right)$ on a geometric sequence of $O\left(\left|logh\right|\right)$ many time steps. The linear systems in each time step are solved iteratively by $O\left(\left|logh\right|\right)$ GMRES iterations with a wavelet preconditioner. We prove that this algorithm gives an $L^2\left(\Omega \right)$-error of $O\left(N^{-p}\right)$ for $u(x,T)$ where $N$ is the total number of operations,...

The instationary Stokes and Navier−Stokes equations are considered in a simultaneously space-time variational saddle point formulation, so involving both velocities u and pressure . For the instationary Stokes problem, it is shown that the corresponding operator is a linear mapping between and H', both Hilbert spaces and being Cartesian products of (intersections of) Bochner spaces, or duals of those. Based on these results, the operator that corresponds...

Parameter sensitivities of prices for derivative contracts play an important role in model calibration as well as in quantification of model risk. In this paper a unified approach to the efficient numerical computation of all sensitivities for Markovian market models is presented. Variational approximations of the integro-differential equations corresponding to the infinitesimal generators of the market model differentiated with respect to the model parameters are employed. Superconvergent approximations...

Let $AV\to V^{\text{'}}$ be a strongly elliptic operator on a $d$-dimensional manifold $D$ (polyhedra or boundaries of polyhedra are also allowed). An operator equation $Au=f$ with stochastic data $f$ is considered. The goal of the computation is the mean field and higher moments ${ℳ}^{1}u\in V$, ${ℳ}^{2}u\in V\otimes V$, $...$, ${ℳ}^{k}u\in V\otimes \cdots \otimes V$ of the solution. We discretize the mean field problem using a FEM with hierarchical basis and $N$ degrees of freedom. We present a Monte-Carlo algorithm and a deterministic algorithm for the approximation of the moment ${ℳ}^{k}u$ for $k\ge 1$. The key tool...

The paper is concerned with the discontinuous Galerkin finite element method for the numerical solution of nonlinear conservation laws and nonlinear convection-diffusion problems with emphasis on applications to the simulation of compressible flows. We discuss two versions of this method: (a) Finite volume discontinuous Galerkin method, which is a generalization of the combined finite volume—finite element method. Its advantage is the use of only one mesh (in contrast to the combined finite volume—finite...

We consider the numerical solution of diffusion problems in (0,) x Ω for $\Omega \subset {ℝ}^d$ and for in dimension d ≥ 1. We use a wavelet based sparse grid space discretization with mesh-width  and order d ≥ 1, and discontinuous Galerkin time-discretization of order $r=O\left(\left|logh\right|\right)$ on a geometric sequence of $O\left(\left|logh\right|\right)$ many time steps. The linear systems in each time step are solved iteratively by $O\left(\left|logh\right|\right)$ GMRES iterations with a wavelet preconditioner. We prove that this algorithm gives an (Ω)-error of for where is the...

The convergence of a two-scale FEM for elliptic problems in divergence form with coefficients and geometries oscillating at length scale ε << 1 is analyzed. Full elliptic regularity independent of is shown when the solution is viewed as mapping from the slow into the fast scale. Two-scale FE spaces which are able to resolve the scale of the solution with work independent of and without analytical homogenization are introduced. Robust in error estimates for the two-scale FE spaces are...

Galerkin discretizations of integral equations in ${ℝ}^d$ require the evaluation of integrals $I={\int }_{S^{\left(1\right)}}{\int }_{S^{\left(2\right)}}g(x,y)\mathrm{d}y\mathrm{d}x$ where , are -simplices and has a singularity at = . We assume that is Gevrey smooth for $\ne$ and satisfies bounds for the derivatives which allow algebraic singularities at = . This holds for kernel functions commonly occurring in integral equations. We construct a family of quadrature rules ${𝒬}_N$ using function evaluations of which achieves exponential...

We study the approximation of harmonic functions by means of harmonic polynomials in two-dimensional, bounded, star-shaped domains. Assuming that the functions possess analytic extensions to a -neighbourhood of the domain, we prove exponential convergence of the approximation error with respect to the degree of the approximating harmonic polynomial. All the constants appearing in the bounds are explicit and depend only on the shape-regularity of the domain and on . We apply the obtained estimates...

Arbitrage-free prices $u$ of European contracts on risky assets whose log-returns are modelled by Lévy processes satisfy a parabolic partial integro-differential equation (PIDE) ${\partial }_{t}u+𝒜\left[u\right]=0$. This PIDE is localized to bounded domains and the error due to this localization is estimated. The localized PIDE is discretized by the $\theta$-scheme in time and a wavelet Galerkin method with $N$ degrees of freedom in log-price space. The dense matrix for $𝒜$ can be replaced by a sparse matrix in the wavelet basis, and the linear...

The numerical approximation of parametric partial differential equations is a computational challenge, in particular when the number of involved parameter is large. This paper considers a model class of second order, linear, parametric, elliptic PDEs on a bounded domain with diffusion coefficients depending on the parameters in an affine manner. For such models, it was shown in [9, 10] that under very weak assumptions on the diffusion coefficients, the entire family of solutions to such equations...

Arbitrage-free prices of European contracts on risky assets whose log-returns are modelled by Lévy processes satisfy a parabolic partial integro-differential equation (PIDE) ${\partial }_{t}u+𝒜\left[u\right]=0$. This PIDE is localized to bounded domains and the error due to this localization is estimated. The localized PIDE is discretized by the -scheme in time and a wavelet Galerkin method with degrees of freedom in log-price space. The dense matrix for $𝒜$ can be replaced by a sparse matrix in the wavelet basis, and the linear...

Galerkin discretizations of integral equations in ${ℝ}^d$ require the evaluation of integrals $I={\int }_{S^{\left(1\right)}}{\int }_{S^{\left(2\right)}}g(x,y)\mathrm{d}y\mathrm{d}x$ where , are -simplices and has a singularity at = . We assume that is Gevrey smooth for $\ne$ and satisfies bounds for the derivatives which allow algebraic singularities at = . This holds for kernel functions commonly occurring in integral equations. We construct a family of quadrature rules ${𝒬}_N$ using function evaluations of which achieves exponential...

We develop the analysis of stabilized sparse tensor-product finite element methods for high-dimensional, non-self-adjoint and possibly degenerate second-order partial differential equations of the form $-a:\nabla \nabla u+b·\nabla u+cu=f\left(x\right)$, $x\in \Omega ={(0,1)}^d\subset {ℝ}^d$, where $a\in {ℝ}^{d\times d}$ is a symmetric positive semidefinite matrix, using piecewise polynomials of degree ≥ 1. Our convergence analysis is based on new high-dimensional approximation results in sparse tensor-product spaces. We show that the error between the analytical solution and its stabilized sparse...