Displaying similar documents to “Finite volume methods for the valuation of American options”

Finite element approximation of a two-layered liquid film in the presence of insoluble surfactants

John W. Barrett, Linda El Alaoui (2008)

ESAIM: Mathematical Modelling and Numerical Analysis

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We consider a system of degenerate parabolic equations modelling a thin film, consisting of two layers of immiscible Newtonian liquids, on a solid horizontal substrate. In addition, the model includes the presence of insoluble surfactants on both the free liquid-liquid and liquid-air interfaces, and the presence of both attractive and repulsive van der Waals forces in terms of the heights of the two layers. We show that this system formally satisfies a Lyapunov structure, and a...

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...