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Superconvergence estimates of finite element methods for American options

Qun Lin, Tang Liu, Shu Hua Zhang (2009)

Applications of Mathematics

In this paper we are concerned with finite element approximations to the evaluation of American options. First, following W. Allegretto etc., SIAM J. Numer. Anal. 39 (2001), 834–857, we introduce a novel practical approach to the discussed problem, which involves the exact reformulation of the original problem and the implementation of the numerical solution over a very small region so that this algorithm is very rapid and highly accurate. Secondly by means of a superapproximation and interpolation...

Superconvergence of mixed finite element semi-discretizations of two time-dependent problems

Jan Brandts (1999)

Applications of Mathematics

We will show that some of the superconvergence properties for the mixed finite element method for elliptic problems are preserved in the mixed semi-discretizations for a diffusion equation and for a Maxwell equation in two space dimensions. With the help of mixed elliptic projection we will present estimates global and pointwise in time. The results for the Maxwell equations form an extension of existing results. For both problems, our results imply that post-processing and a posteriori error estimation...

Symmetric interior penalty discontinuous Galerkin method for nonlinear fully coupled quasi-static thermo-poroelasticity problems

Fan Chen, Ming Cui, Chenguang Zhou (2025)

Applications of Mathematics

We propose a symmetric interior penalty discontinuous Galerkin (DG) method for nonlinear fully coupled quasi-static thermo-poroelasticity problems. Firstly, a fully implicit nonlinear discrete scheme is constructed by adopting the DG method for the spatial approximation and the backward Euler method for the temporal discretization. Subsequently, the existence and uniqueness of the solution of the numerical scheme is proved, and then we derive the a priori error estimate for the three variables,...

Symplectic local time-stepping in non-dissipative DGTD methods applied to wave propagation problems

Serge Piperno (2006)

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

The Discontinuous Galerkin Time Domain (DGTD) methods are now popular for the solution of wave propagation problems. Able to deal with unstructured, possibly locally-refined meshes, they handle easily complex geometries and remain fully explicit with easy parallelization and extension to high orders of accuracy. Non-dissipative versions exist, where some discrete electromagnetic energy is exactly conserved. However, the stability limit of the methods, related to the smallest elements in the mesh,...

Symplectic local time-stepping in non-dissipative DGTD methods applied to wave propagation problems

Serge Piperno (2007)

ESAIM: Mathematical Modelling and Numerical Analysis

The Discontinuous Galerkin Time Domain (DGTD) methods are now popular for the solution of wave propagation problems. Able to deal with unstructured, possibly locally-refined meshes, they handle easily complex geometries and remain fully explicit with easy parallelization and extension to high orders of accuracy. Non-dissipative versions exist, where some discrete electromagnetic energy is exactly conserved. However, the stability limit of the methods, related to the smallest elements in the mesh,...

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