Discontinuous Galerkin method for a 2D nonlocal flocking model

Kučera, Václav; Zivčáková, Andrea

Displaying similar documents to “Discontinuous Galerkin method for a 2D nonlocal flocking model”

Numerical solution of a new hydrodynamic model of flocking

Kučera, Václav, Živčáková, Andrea

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This work is concerned with the numerical solution of a hydrodynamic model of the macroscopic behavior of flocks of birds due to Fornasier et al., 2011. The model consists of the compressible Euler equations with an added nonlocal, nonlinear right-hand side. As noticed by the authors of the model, explicit time schemes are practically useless even on very coarse grids in 1D due to the nonlocal nature of the equations. To this end, we apply a semi-implicit discontinuous Galerkin method...

DG method for pricing European options under Merton jump-diffusion model

Jiří Hozman, Tomáš Tichý, Miloslav Vlasák (2019)

Applications of Mathematics

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Under real market conditions, there exist many cases when it is inevitable to adopt numerical approximations of option prices due to non-existence of analytical formulae. Obviously, any numerical technique should be tested for the cases when the analytical solution is well known. The paper is devoted to the discontinuous Galerkin method applied to European option pricing under the Merton jump-diffusion model, when the evolution of the asset prices is driven by a Lévy process with finite...

Valuing barrier options using the adaptive discontinuous Galerkin method

Hozman, Jiří

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This paper is devoted to barrier options and the main objective is to develop a sufficiently robust, accurate and efficient method for computation of their values driven according to the well-known Black-Scholes equation. The main idea is based on the discontinuous Galerkin method together with a spatial adaptive approach. This combination seems to be a promising technique for the solving of such problems with discontinuous solutions as well as for consequent optimization of the number...

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...

Option valuation under the VG process by a DG method

Jiří Hozman, Tomáš Tichý (2021)

Applications of Mathematics

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The paper presents a discontinuous Galerkin method for solving partial integro-differential equations arising from the European as well as American option pricing when the underlying asset follows an exponential variance gamma process. For practical purposes of numerical solving we introduce the modified option pricing problem resulting from a localization to a bounded domain and an approximation of small jumps, and we discuss the related error estimates. Then we employ a robust numerical...