Currently displaying 1 – 15 of 15

Showing per page

Order by Relevance | Title | Year of publication

Finite volume methods for the valuation of American options

Julien BertonRobert Eymard — 2006

ESAIM: Mathematical Modelling and Numerical Analysis

We consider the use of finite volume methods for the approximation of a parabolic variational inequality arising in financial mathematics. We show, under some regularity conditions, the convergence of the upwind implicit finite volume scheme to a weak solution of the variational inequality in a bounded domain. Some results, obtained in comparison with other methods on two dimensional cases, show that finite volume schemes can be accurate and efficient.

Approximation of the marginal distributions of a semi-Markov process using a finite volume scheme

Christiane Cocozza-ThiventRobert Eymard — 2004

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

In the reliability theory, the availability of a component, characterized by non constant failure and repair rates, is obtained, at a given time, thanks to the computation of the marginal distributions of a semi-Markov process. These measures are shown to satisfy classical transport equations, the approximation of which can be done thanks to a finite volume method. Within a uniqueness result for the continuous solution, the convergence of the numerical scheme is then proven in the weak measure sense,...

Small-stencil 3D schemes for diffusive flows in porous media

Robert EymardCindy GuichardRaphaèle Herbin — 2012

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

In this paper, we study some discretization schemes for diffusive flows in heterogeneous anisotropic porous media. We first introduce the notion of gradient scheme, and show that several existing schemes fall into this framework. Then, we construct two new gradient schemes which have the advantage of a small stencil. Numerical results obtained for real reservoir meshes show the efficiency of the new schemes, compared to existing ones.

Mathematical study of a petroleum-engineering scheme

Robert EymardRaphaèle HerbinAnthony Michel — 2003

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

Models of two phase flows in porous media, used in petroleum engineering, lead to a system of two coupled equations with elliptic and parabolic degenerate terms, and two unknowns, the saturation and the pressure. For the purpose of their approximation, a coupled scheme, consisting in a finite volume method together with a phase-by-phase upstream weighting scheme, is used in the industrial setting. This paper presents a mathematical analysis of this coupled scheme, first showing that it satisfies...

Approximation of the marginal distributions of a semi-Markov process using a finite volume scheme

Christiane Cocozza-ThiventRobert Eymard — 2010

ESAIM: Mathematical Modelling and Numerical Analysis

In the reliability theory, the availability of a component, characterized by non constant failure and repair rates, is obtained, at a given time, thanks to the computation of the marginal distributions of a semi-Markov process. These measures are shown to satisfy classical transport equations, the approximation of which can be done thanks to a finite volume method. Within a uniqueness result for the continuous solution, the convergence of the numerical scheme is then proven in the weak measure...

Mathematical study of a petroleum-engineering scheme

Robert EymardRaphaèle HerbinAnthony Michel — 2010

ESAIM: Mathematical Modelling and Numerical Analysis

Models of two phase flows in porous media, used in petroleum engineering, lead to a system of two coupled equations with elliptic and parabolic degenerate terms, and two unknowns, the saturation and the pressure. For the purpose of their approximation, a coupled scheme, consisting in a finite volume method together with a phase-by-phase upstream weighting scheme, is used in the industrial setting. This paper presents a mathematical analysis of this coupled scheme, first showing that it satisfies...

Small-stencil 3D schemes for diffusive flows in porous media

Robert EymardCindy GuichardRaphaèle Herbin — 2011

ESAIM: Mathematical Modelling and Numerical Analysis

In this paper, we study some discretization schemes for diffusive flows in heterogeneous anisotropic porous media. We first introduce the notion of gradient scheme, and show that several existing schemes fall into this framework. Then, we construct two new gradient schemes which have the advantage of a small stencil. Numerical results obtained for real reservoir meshes show the efficiency of the new schemes, compared to existing ones.

Applications of approximate gradient schemes for nonlinear parabolic equations

Robert EymardAngela HandlovičováRaphaèle HerbinKarol MikulaOlga Stašová — 2015

Applications of Mathematics

We develop gradient schemes for the approximation of the Perona-Malik equations and nonlinear tensor-diffusion equations. We prove the convergence of these methods to the weak solutions of the corresponding nonlinear PDEs. A particular gradient scheme on rectangular meshes is then studied numerically with respect to experimental order of convergence which shows its second order accuracy. We present also numerical experiments related to image filtering by time-delayed Perona-Malik and tensor diffusion...

A unified analysis of elliptic problems with various boundary conditions and their approximation

Jérôme DroniouRobert EymardThierry GallouëtRaphaèle Herbin — 2020

Czechoslovak Mathematical Journal

We design an abstract setting for the approximation in Banach spaces of operators acting in duality. A typical example are the gradient and divergence operators in Lebesgue-Sobolev spaces on a bounded domain. We apply this abstract setting to the numerical approximation of Leray-Lions type problems, which include in particular linear diffusion. The main interest of the abstract setting is to provide a unified convergence analysis that simultaneously covers (i) all usual boundary conditions, (ii)...

Diffusion with dissolution and precipitation in a porous medium: Mathematical analysis and numerical approximation of a simplified model

Nicolas BouillardRobert EymardRaphaele HerbinPhilippe Montarnal — 2007

ESAIM: Mathematical Modelling and Numerical Analysis

Modeling the kinetics of a precipitation dissolution reaction occurring in a porous medium where diffusion also takes place leads to a system of two parabolic equations and one ordinary differential equation coupled with a stiff reaction term. This system is discretized by a finite volume scheme which is suitable for the approximation of the discontinuous reaction term of unknown sign. Discrete solutions are shown to exist and converge towards a weak solution of the continuous problem. Uniqueness...

Convergence analysis of a locally stabilized collocated finite volume scheme for incompressible flows

Robert EymardRaphaèle HerbinJean-Claude LatchéBruno Piar — 2009

ESAIM: Mathematical Modelling and Numerical Analysis

We present and analyse in this paper a novel cell-centered collocated finite volume scheme for incompressible flows. Its definition involves a partition of the set of control volumes; each element of this partition is called a cluster and consists in a few neighbouring control volumes. Under a simple geometrical assumption for the clusters, we obtain that the pair of discrete spaces associating the classical cell-centered approximation for the velocities and cluster-wide constant pressures is ...

On a stabilized colocated Finite Volume scheme for the Stokes problem

Robert EymardRaphaèle HerbinJean Claude Latché — 2006

ESAIM: Mathematical Modelling and Numerical Analysis

We present and analyse in this paper a novel colocated Finite Volume scheme for the solution of the Stokes problem. It has been developed following two main ideas. On one hand, the discretization of the pressure gradient term is built as the discrete transposed of the velocity divergence term, the latter being evaluated using a natural finite volume approximation; this leads to a non-standard interpolation formula for the expression of the pressure on the edges of the control volumes. On the other...

Vertex centred Discretization of Two-Phase Darcy flows on General Meshes

Robert EymardCindy GuichardRaphaèle HerbinRoland Masson — 2012

ESAIM: Proceedings

This paper concerns the discretization of multiphase Darcy flows, in the case of heterogeneous anisotropic porous media and general 3D meshes used in practice to represent reservoir and basin geometries. An unconditionally coercive and symmetric vertex centred approach is introduced in this paper. This scheme extends the Vertex Approximate Gradient scheme (VAG), already introduced for single phase diffusive problems in [9], to multiphase Darcy flows....

Page 1

Download Results (CSV)