The numerical valuation of options with underlying jumps.
The version of mixed finite element methods for parabolic problems
The pseudospectral method for thermotropic primitive equation and its error estimation.
The Rothe method and time periodic solutions to the Navier-Stokes equations and equations of magnetohydrodynamics
The existence of a periodic solution of a nonlinear equation is proved. The theory developed may be used to prove the existence of a periodic solution of the variational formulation of the Navier-Stokes equations or the equations of magnetohydrodynamics. The proof of the main existence theorem is based on Rothe method in combination with the Galerkin method, using the Brouwer fixed point theorem.
The ROTHE method for nonlinear hyperbolic problems
The Rothe method for solving the first initial-boundary value problem for the equation of filtration in a cracked porous medium.
The Rothe method for the McKendrick-von Foerster equation
We present the Rothe method for the McKendrick-von Foerster equation with initial and boundary conditions. This method is well known as an abstract Euler scheme in extensive literature, e.g. K. Rektorys, The Method of Discretization in Time and Partial Differential Equations, Reidel, Dordrecht, 1982. Various Banach spaces are exploited, the most popular being the space of bounded and continuous functions. We prove the boundedness of approximate solutions and stability of the Rothe method in and...
The Runge-Kutta local projection -discontinuous-Galerkin finite element method for scalar conservation laws
The sinc-Galerkin method for solving singularly-perturbed reaction-diffusion problem.
The solution existence and convergence analysis for linear and nonlinear differential-operator equations in Banach spaces within the Calogero type projection-algebraic scheme of discrete approximations
The projection-algebraic approach of the Calogero type for discrete approximations of linear and nonlinear differential operator equations in Banach spaces is studied. The solution convergence and realizability properties of the related approximating schemes are analyzed. For the limiting-dense approximating scheme of linear differential operator equations a new convergence theorem is stated. In the case of nonlinear differential operator equations the effective convergence conditions for the approximated...
The splitting in potential Crank–Nicolson scheme with discrete transparent boundary conditions for the Schrödinger equation on a semi-infinite strip
We consider an initial-boundary value problem for a generalized 2D time-dependent Schrödinger equation (with variable coefficients) on a semi-infinite strip. For the Crank–Nicolson-type finite-difference scheme with approximate or discrete transparent boundary conditions (TBCs), the Strang-type splitting with respect to the potential is applied. For the resulting method, the unconditional uniform in time L2-stability is proved. Due to the splitting, an effective direct algorithm using FFT is developed...
The stability of Ritz-Volterra projection and error estimates for finite element methods for a class of integro-differential equations of parabolic type
In this paper we first study the stability of Ritz-Volterra projection (see below) and its maximum norm estimates, and then we use these results to derive some error estimates for finite element methods for parabolic integro-differential equations.
The Tree-Grid Method with Control-Independent Stencil
The Tree-Grid method is a novel explicit convergent scheme for solving stochastic control problems or Hamilton-Jacobi-Bellman equations with one space dimension. One of the characteristics of the scheme is that the stencil size is dependent on space, control and possibly also on time. Because of the dependence on the control variable, it is not trivial to solve the optimization problem inside the method. Recently, this optimization part was solved by brute-force testing of all permitted controls....
The use of linear approximation scheme for solving the Stefan problem
This paper deals with the linear approximation scheme to approximate a singular parabolic problem: the two-phase Stefan problem on a domain consisting of two components with imperfect contact. The results of some numerical experiments and comparisons are presented. The method was used to determine the temperature of steel in the process of continuous casting.
Theoretical analysis of the upwind finite volume scheme on the counter-example of Peterson
When applied to the linear advection problem in dimension two, the upwind finite volume method is a non consistent scheme in the finite differences sense but a convergent scheme. According to our previous paper [Bouche et al., SIAM J. Numer. Anal.43 (2005) 578–603], a sufficient condition in order to complete the mathematical analysis of the finite volume scheme consists in obtaining an estimation of order p, less or equal to one, of a quantity that depends only on the mesh and on the advection ...
Theoretical and numerical studies of the DG schemes in one space dimension
We give a proof of the existence of a solution of reconstruction operators used in the DG schemes in one space dimension. Some properties and error estimates of the projection and reconstruction operators are presented. Then, by applying the DG schemes to the linear advection equation, we study their stability obtaining maximal limits of the Courant numbers for several DG schemes mostly experimentally. A numerical study explains how the stencils used in the reconstruction affect the efficiency...
Theoretical and numerical study of a quasi-linear Zakharov system describing Landau damping
In this paper, we study a Zakharov system coupled to an electron diffusion equation in order to describe laser-plasma interactions. Starting from the Vlasov-Maxwell system, we derive a nonlinear Schrödinger like system which takes into account the energy exchanged between the plasma waves and the electrons via Landau damping. Two existence theorems are established in a subsonic regime. Using a time-splitting, spectral discretizations for the Zakharov system and a finite difference scheme for the...
Theoretical and numerical study of a quasi-linear Zakharov system describing Landau damping
In this paper, we study a Zakharov system coupled to an electron diffusion equation in order to describe laser-plasma interactions. Starting from the Vlasov-Maxwell system, we derive a nonlinear Schrödinger like system which takes into account the energy exchanged between the plasma waves and the electrons via Landau damping. Two existence theorems are established in a subsonic regime. Using a time-splitting, spectral discretizations for the Zakharov system and a finite difference scheme for...
Theory and numerical approximations for a nonlinear 1 + 1 Dirac system
We consider a nonlinear Dirac system in one space dimension with periodic boundary conditions. First, we discuss questions on the existence and uniqueness of the solution. Then, we propose an implicit-explicit finite difference method for its approximation, proving optimal order a priori error estimates in various discrete norms and showing results from numerical experiments.
Theory and numerical approximations for a nonlinear 1 + 1 Dirac system
We consider a nonlinear Dirac system in one space dimension with periodic boundary conditions. First, we discuss questions on the existence and uniqueness of the solution. Then, we propose an implicit-explicit finite difference method for its approximation, proving optimal order a priori error estimates in various discrete norms and showing results from numerical experiments.