Displaying 181 – 200 of 3301

Showing per page

A priori error estimates for reduced order models in finance

Ekkehard W. Sachs, Matthias Schu (2013)

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

Mathematical models for option pricing often result in partial differential equations. Recent enhancements are models driven by Lévy processes, which lead to a partial differential equation with an additional integral term. In the context of model calibration, these partial integro differential equations need to be solved quite frequently. To reduce the computational cost the implementation of a reduced order model has shown to be very successful numerically. In this paper we give a priori error...

A quasi-variational inequality problem arising in the modeling of growing sandpiles

John W. Barrett, Leonid Prigozhin (2013)

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

Existence of a solution to the quasi-variational inequality problem arising in a model for sand surface evolution has been an open problem for a long time. Another long-standing open problem concerns determining the dual variable, the flux of sand pouring down the evolving sand surface, which is also of practical interest in a variety of applications of this model. Previously, these problems were solved for the special case in which the inequality is simply variational. Here, we introduce a regularized...

A Reduced Model for Flame-Flow Interaction

P. Gordon, M. Frankel, G. Sivashinsky (2010)

Mathematical Modelling of Natural Phenomena

The paper is concerned with an extension of the classical relation between the flame speed and the curvature-flow stretch, valid only for high Lewis numbers (diffusively stable flames). At low Lewis numbers the corresponding flame-flow system suffers short-wavelength instability, making the associated initial value problem ill-posed. In this study the difficulty is resolved by incorporation of higher-order effects. As a result one ends up with a reduced model based on a coupled system of second-order...

Currently displaying 181 – 200 of 3301