Displaying similar documents to “Time-delay regularization of anisotropic diffusion and image processing”

Homogenization of periodic semilinear hypoelliptic PDEs

Alassane Diédhiou, Étienne Pardoux (2007)

Annales de la faculté des sciences de Toulouse Mathématiques

Similarity:

We establish homogenization results for both linear and semilinear partial differential equations of parabolic type, when the linear second order PDE operator satisfies a hypoellipticity asumption, rather than the usual ellipticity condition. Our method of proof is essentially probabilistic.

Finite volume methods for the valuation of American options

Julien Berton, Robert Eymard (2006)

ESAIM: Mathematical Modelling and Numerical Analysis

Similarity:

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.