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DGM for real options valuation: Options to change operating scale

Hozman, Jiří, Tichý, Tomáš (2023)

Programs and Algorithms of Numerical Mathematics

The real options approach interprets a flexibility value, embedded in a project, as an option premium. The object of interest is to valuate real options to change operating scale, typical for natural resources industry. The evolution of the project as well as option prices is decribed by partial differential equations of the Black-Scholes type, linked through a payoff function given by a type of the flexibility provided. The governing equations are discretized by the discontinuous Galerkin method...

Differentiability of the transition semigroup of the stochastic Burgers equation, and application to the corresponding Hamilton-Jacobi equation

Giuseppe Da Prato, Arnaud Debussche (1998)

Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni

We consider a stochastic Burgers equation. We show that the gradient of the corresponding transition semigroup P t ⁢ φ does exist for any bounded φ ; and can be estimated by a suitable exponential weight. An application to some Hamilton-Jacobi equation arising in Stochastic Control is given.

Diffusion with dissolution and precipitation in a porous medium: Mathematical analysis and numerical approximation of a simplified model

Nicolas Bouillard, Robert Eymard, Raphaele Herbin, Philippe Montarnal (2007)

ESAIM: Mathematical Modelling and Numerical Analysis

Modeling the kinetics of a precipitation dissolution reaction occurring in a porous medium where diffusion also takes place leads to a system of two parabolic equations and one ordinary differential equation coupled with a stiff reaction term. This system is discretized by a finite volume scheme which is suitable for the approximation of the discontinuous reaction term of unknown sign. Discrete solutions are shown to exist and converge towards a weak solution of the continuous problem. Uniqueness...

Diffusive limit for finite velocity Boltzmann kinetic models.

Pierre Louis Lions, Giuseppe Toscani (1997)

Revista Matemática Iberoamericana

We investigate, in the diffusive scaling, the limit to the macroscopic description of finite-velocity Boltzmann kinetic models, where the rate coefficient in front of the collision operator is assumed to be dependent of the mass density. It is shown that in the limit the flux vanishes, while the evolution of the mass density is governed by a nonlinear parabolic equation of porous medium type. In the last part of the paper we show that our method adapts to prove the so-called Rosseland approximation...

Dimension reduction for functionals on solenoidal vector fields

Stefan Krömer (2012)

ESAIM: Control, Optimisation and Calculus of Variations

We study integral functionals constrained to divergence-free vector fields in Lp on a thin domain, under standard p-growth and coercivity assumptions, 1 < p < ∞. We prove that as the thickness of the domain goes to zero, the Gamma-limit with respect to weak convergence in Lp is always given by the associated functional with convexified energy density wherever it is finite. Remarkably, this happens despite the fact that relaxation of nonconvex functionals subject to the limiting constraint...

Dimension reduction for functionals on solenoidal vector fields

Stefan Krömer (2012)

ESAIM: Control, Optimisation and Calculus of Variations

We study integral functionals constrained to divergence-free vector fields in Lp on a thin domain, under standard p-growth and coercivity assumptions, 1 < p < ∞. We prove that as the thickness of the domain goes to zero, the Gamma-limit with respect to weak convergence in Lp is always given by the associated functional with convexified energy density wherever it is finite. Remarkably, this happens despite the fact that relaxation of nonconvex functionals subject to the limiting constraint...

Dirichlet control of unsteady Navier–Stokes type system related to Soret convection by boundary penalty method

S. S. Ravindran (2014)

ESAIM: Control, Optimisation and Calculus of Variations

In this paper, we study the boundary penalty method for optimal control of unsteady Navier–Stokes type system that has been proposed as an alternative for Dirichlet boundary control. Existence and uniqueness of solutions are demonstrated and existence of optimal control for a class of optimal control problems is established. The asymptotic behavior of solution, with respect to the penalty parameter ϵ, is studied. In particular, we prove convergence of solutions of penalized control problem to the...

Discontinuous Galerkin method for a 2D nonlocal flocking model

Kučera, Václav, Zivčáková, Andrea (2017)

Programs and Algorithms of Numerical Mathematics

We present our work on the numerical solution of a continuum model of flocking dynamics in two spatial dimensions. The model consists of the compressible Euler equations with a nonlinear nonlocal term which requires special treatment. We use a semi-implicit discontinuous Galerkin scheme, which proves to be efficient enough to produce results in 2D in reasonable time. This work is a direct extension of the authors' previous work in 1D.

Discrete coagulation-fragmentation system with transport and diffusion

Stéphane Brull (2008)

Annales de la faculté des sciences de Toulouse Mathématiques

We prove the existence of solutions to two infinite systems of equations obtained by adding a transport term to the classical discrete coagulation-fragmentation system and in a second case by adding transport and spacial diffusion. In both case, the particles have the same velocity as the fluid and in the second case the diffusion coefficients are equal. First a truncated system in size is solved and after we pass to the limit by using compactness properties.

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