Degenerate two-phase incompressible flow problems III: Perturbation analysis and numerical experiments.
DG method for numerical pricing of multi-asset Asian options—the case of options with floating strike
Option pricing models are an important part of financial markets worldwide. The PDE formulation of these models leads to analytical solutions only under very strong simplifications. For more general models the option price needs to be evaluated by numerical techniques. First, based on an ideal pure diffusion process for two risky asset prices with an additional path-dependent variable for continuous arithmetic average, we present a general form of PDE for pricing of Asian option contracts on two...
DG method for pricing European options under Merton jump-diffusion model
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 activity....
DG method for the numerical pricing of two-asset European-style Asian options with fixed strike
The evaluation of option premium is a very delicate issue arising from the assumptions made under a financial market model, and pricing of a wide range of options is generally feasible only when numerical methods are involved. This paper is based on our recent research on numerical pricing of path-dependent multi-asset options and extends these results also to the case of Asian options with fixed strike. First, we recall the three-dimensional backward parabolic PDE describing the evolution of European-style...
DGM for real options valuation: Options to change operating scale
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...
Diffusion models and their accelerated solution in image and surface processing.
Dirichlet control of unsteady Navier–Stokes type system related to Soret convection by boundary penalty method
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
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.
Discontinuous Galerkin method for nonlinear convection-diffusion problems with mixed Dirichlet-Neumann boundary conditions
The paper is devoted to the analysis of the discontinuous Galerkin finite element method (DGFEM) applied to the space semidiscretization of a nonlinear nonstationary convection-diffusion problem with mixed Dirichlet-Neumann boundary conditions. General nonconforming meshes are used and the NIPG, IIPG and SIPG versions of the discretization of diffusion terms are considered. The main attention is paid to the impact of the Neumann boundary condition prescribed on a part of the boundary on the truncation...
Discontinuous Galerkin semi-Lagrangian method for Vlasov-Poisson
We present a discontinuous Galerkin scheme for the numerical approximation of the one-dimensional periodic Vlasov-Poisson equation. The scheme is based on a Galerkin-characteristics method in which the distribution function is projected onto a space of discontinuous functions. We present comparisons with a semi-Lagrangian method to emphasize the good behavior of this scheme when applied to Vlasov-Poisson test cases.
Discrete compactness for a discontinuous Galerkin approximation of Maxwell's system
In this paper we prove the discrete compactness property for a discontinuous Galerkin approximation of Maxwell's system on quite general tetrahedral meshes. As a consequence, a discrete Friedrichs inequality is obtained and the convergence of the discrete eigenvalues to the continuous ones is deduced using the theory of collectively compact operators. Some numerical experiments confirm the theoretical predictions.
Discrete maximum principles for the FEM solution of some nonlinear parabolic problems.
Discretization methods with analytical characteristic methods for advection-diffusion-reaction equations and 2d applications
Our studies are motivated by a desire to model long-time simulations of possible scenarios for a waste disposal. Numerical methods are developed for solving the arising systems of convection-diffusion-dispersion-reaction equations, and the received results of several discretization methods are presented. We concentrate on linear reaction systems, which can be solved analytically. In the numerical methods, we use large time-steps to achieve long simulation times of about 10 000 years. We propose...
Dual-mixed finite element methods for the Navier-Stokes equations
A mixed finite element method for the Navier–Stokes equations is introduced in which the stress is a primary variable. The variational formulation retains the mathematical structure of the Navier–Stokes equations and the classical theory extends naturally to this setting. Finite element spaces satisfying the associated inf–sup conditions are developed.
Dynamics of Biomembranes: Effect of the Bulk Fluid
We derive a biomembrane model consisting of a fluid enclosed by a lipid membrane. The membrane is characterized by its Canham-Helfrich energy (Willmore energy with area constraint) and acts as a boundary force on the Navier-Stokes system modeling an incompressible fluid. We give a concise description of the model and of the associated numerical scheme. We provide numerical simulations with emphasis on the comparisons between different types of flow:...