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Displaying similar documents to “Numerical analysis of nonlinear elliptic-parabolic equations”

Finite volume methods for the valuation of American options

Julien Berton, Robert Eymard (2006)

ESAIM: Mathematical Modelling and Numerical Analysis

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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.

Mathematical study of a petroleum-engineering scheme

Robert Eymard, Raphaèle Herbin, Anthony Michel (2003)

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

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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...

The G method for heterogeneous anisotropic diffusion on general meshes

Léo Agélas, Daniele A. Di Pietro, Jérôme Droniou (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

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In the present work we introduce a new family of cell-centered Finite Volume schemes for anisotropic and heterogeneous diffusion operators inspired by the MPFA L method. A very general framework for the convergence study of finite volume methods is provided and then used to establish the convergence of the new method. Fairly general meshes are covered and a computable sufficient criterion for coercivity is provided. In order to guarantee consistency in the presence of heterogeneous ...

Numerical analysis of nonlinear elliptic-parabolic equations

Emmanuel Maitre (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

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This paper deals with the numerical approximation of mild solutions of elliptic-parabolic equations, relying on the existence results of Bénilan and Wittbold (1996). We introduce a new and simple algorithm based on Halpern's iteration for nonexpansive operators (Bauschke, 1996; Halpern, 1967; Lions, 1977), which is shown to be convergent in the degenerate case, and compare it with existing schemes (Jäger and Kačur, 1995; Kačur, 1999).