Displaying similar documents to “Valuing barrier options using the adaptive discontinuous Galerkin method”

A new reconstruction-enhanced discontinuous Galerkin method for time-dependent problems

Kučera, Václav

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This work is concerned with the introduction of a new numerical scheme based on the discontinuous Galerkin (DG) method. We propose to follow the methodology of higher order finite volume schemes and introduce a reconstruction operator into the DG scheme. This operator constructs higher order piecewise polynomial reconstructions from the lower order DG scheme. Such a procedure was proposed already in [2] based on heuristic arguments, however we provide a rigorous derivation, which justifies...

Flux-upwind stabilization of the discontinuous Petrov–Galerkin formulation with Lagrange multipliers for advection-diffusion problems

Paola Causin, Riccardo Sacco, Carlo L. Bottasso (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

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In this work we consider the dual-primal Discontinuous Petrov–Galerkin (DPG) method for the advection-diffusion model problem. Since in the DPG method both mixed internal variables are discontinuous, a static condensation procedure can be carried out, leading to a single-field nonconforming discretization scheme. For this latter formulation, we propose a flux-upwind stabilization technique to deal with the advection-dominated case. The resulting scheme is conservative and satisfies...

Convergence analysis of the lowest order weakly penalized adaptive discontinuous Galerkin methods

Thirupathi Gudi, Johnny Guzmán (2014)

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

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In this article, we prove convergence of the weakly penalized adaptive discontinuous Galerkin methods. Unlike other works, we derive the contraction property for various discontinuous Galerkin methods only assuming the stabilizing parameters are large enough to stabilize the method. A central idea in the analysis is to construct an auxiliary solution from the discontinuous Galerkin solution by a simple post processing. Based on the auxiliary solution, we define the adaptive algorithm...

On discontinuous Galerkin methods for nonlinear convection-diffusion problems and compressible flow

Vít Dolejší, Miloslav Feistauer, Christoph Schwab (2002)

Mathematica Bohemica

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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...