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Approximation of Parabolic Equations Using the Wasserstein Metric

David Kinderlehrer, Noel J. Walkington (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

We illustrate how some interesting new variational principles can be used for the numerical approximation of solutions to certain (possibly degenerate) parabolic partial differential equations. One remarkable feature of the algorithms presented here is that derivatives do not enter into the variational principles, so, for example, discontinuous approximations may be used for approximating the heat equation. We present formulae for computing a Wasserstein metric which enters into the variational...

Approximation of solutions of Hamilton-Jacobi equations on the Heisenberg group

Yves Achdou, Italo Capuzzo-Dolcetta (2008)

ESAIM: Mathematical Modelling and Numerical Analysis

We propose and analyze numerical schemes for viscosity solutions of time-dependent Hamilton-Jacobi equations on the Heisenberg group. The main idea is to construct a grid compatible with the noncommutative group geometry. Under suitable assumptions on the data, the Hamiltonian and the parameters for the discrete first order scheme, we prove that the error between the viscosity solution computed at the grid nodes and the solution of the discrete problem behaves like h where h is the mesh step. Such...

Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods

Ali R. Soheili, Mahdieh Arezoomandan (2013)

Applications of Mathematics

The numerical solutions of stochastic partial differential equations of Itô type with time white noise process, using stable stochastic explicit finite difference methods are considered in the paper. Basically, Stochastic Alternating Direction Explicit (SADE) finite difference schemes for solving stochastic time dependent advection-diffusion and diffusion equations are represented and the main properties of these stochastic numerical methods, e.g. stability, consistency and convergence are analyzed....

Approximation of the marginal distributions of a semi-Markov process using a finite volume scheme

Christiane Cocozza-Thivent, Robert Eymard (2004)

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

In the reliability theory, the availability of a component, characterized by non constant failure and repair rates, is obtained, at a given time, thanks to the computation of the marginal distributions of a semi-Markov process. These measures are shown to satisfy classical transport equations, the approximation of which can be done thanks to a finite volume method. Within a uniqueness result for the continuous solution, the convergence of the numerical scheme is then proven in the weak measure sense,...

Approximation of the marginal distributions of a semi-Markov process using a finite volume scheme

Christiane Cocozza-Thivent, Robert Eymard (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

In the reliability theory, the availability of a component, characterized by non constant failure and repair rates, is obtained, at a given time, thanks to the computation of the marginal distributions of a semi-Markov process. These measures are shown to satisfy classical transport equations, the approximation of which can be done thanks to a finite volume method. Within a uniqueness result for the continuous solution, the convergence of the numerical scheme is then proven in the weak measure...

Approximation of the Snell envelope and american options prices in dimension one

Vlad Bally, Bruno Saussereau (2002)

ESAIM: Probability and Statistics

We establish some error estimates for the approximation of an optimal stopping problem along the paths of the Black–Scholes model. This approximation is based on a tree method. Moreover, we give a global approximation result for the related obstacle problem.

Approximation of the Snell Envelope and American Options Prices in dimension one

Vlad Bally, Bruno Saussereau (2010)

ESAIM: Probability and Statistics

We establish some error estimates for the approximation of an optimal stopping problem along the paths of the Black–Scholes model. This approximation is based on a tree method. Moreover, we give a global approximation result for the related obstacle problem.

Approximation of viscosity solution by morphological filters

Denis Pasquignon (2010)

ESAIM: Control, Optimisation and Calculus of Variations

We consider in ℝ 2 all curvature equation ∂ u ∂ t = | D u | G ( curv ( u ) ) where G is a nondecreasing function and curv(u) is the curvature of the level line passing by x. These equations are invariant with respect to any contrast change u → g(u), with g nondecreasing. Consider the contrast invariant operator T t : u o → u ( t ) . A Matheron theorem asserts that all contrast invariant operator T can be put in a form ( T u ) ( 𝐱 ) = inf B ∈ ℬ sup 𝐲 ∈ B u ( 𝐱 + 𝐲 ) . We show the asymptotic equivalence of both formulations. More precisely, we show that all curvature equations can be obtained...

Approximation theorem for evolution operators

Rinka Azuma (2003)

Studia Mathematica

This paper is devoted to the study of the approximation problem for the abstract hyperbolic differential equation u'(t) = A(t)u(t) for t ∈ [0,T], where A(t):t ∈ [0,T] is a family of closed linear operators, without assuming the density of their domains.

Approximations of parabolic variational inequalities

Alexander Ženíšek (1985)

Aplikace matematiky

The paper deals with an initial problem of a parabolic variational inequality whichcontains a nonlinear elliptic form a ( v , w ) having a potential J ( v ) , which is twice G -differentiable at arbitrary v ∈ H 1 ( Ω ) . This property of a ( v , w ) makes it possible to prove convergence of an approximate solution defined by a linearized scheme which is fully discretized - in space by the finite elements method and in time by a one-step finite-difference method. Strong convergence of the approximate solution is proved without any regularity...

Arbitrary high-order finite element schemes and high-order mass lumping

Sébastien Jund, Stéphanie Salmon (2007)

International Journal of Applied Mathematics and Computer Science

Computers are becoming sufficiently powerful to permit to numerically solve problems such as the wave equation with high-order methods. In this article we will consider Lagrange finite elementsof order k and show how it is possible to automatically generate the mass and stiffness matrices of any order with the help of symbolic computation software. We compare two high-order time discretizations: an explicit one using a Taylor expansion in time (a Cauchy-Kowalewski procedure) and an implicit Runge-Kutta...

Currently displaying 281 – 300 of 308