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Un résultat de convergence d'ordre deux en temps pour l'approximation des équations de Navier–Stokes par une technique de projection incrémentale

Jean-Luc Guermond (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

The Navier–Stokes equations are approximated by means of a fractional step, Chorin–Temam projection method; the time derivative is approximated by a three-level backward finite difference, whereas the approximation in space is performed by a Galerkin technique. It is shown that the proposed scheme yields an error of 𝒪 ( δ t 2 + h l + 1 ) for the velocity in the norm of l2(L2(Ω)d), where l ≥ 1 is the polynomial degree of the velocity approximation. It is also shown that the splitting error of projection schemes based...

Uniform a priori estimates for discrete solution of nonlinear tensor diffusion equation in image processing

Olga Drblíková (2007)

Kybernetika

This paper concerns with the finite volume scheme for nonlinear tensor diffusion in image processing. First we provide some basic information on this type of diffusion including a construction of its diffusion tensor. Then we derive a semi-implicit scheme with the help of so-called diamond-cell method (see [Coirier1] and [Coirier2]). Further, we prove existence and uniqueness of a discrete solution given by our scheme. The proof is based on a gradient bound in the tangential direction by a gradient...

Uniform stabilization of a viscous numerical approximation for a locally damped wave equation

Arnaud Münch, Ademir Fernando Pazoto (2007)

ESAIM: Control, Optimisation and Calculus of Variations

This work is devoted to the analysis of a viscous finite-difference space semi-discretization of a locally damped wave equation in a regular 2-D domain. The damping term is supported in a suitable subset of the domain, so that the energy of solutions of the damped continuous wave equation decays exponentially to zero as time goes to infinity. Using discrete multiplier techniques, we prove that adding a suitable vanishing numerical viscosity term leads to a uniform (with respect to the mesh size)...

Uniformly exponentially or polynomially stable approximations for second order evolution equations and some applications

Farah Abdallah, Serge Nicaise, Julie Valein, Ali Wehbe (2013)

ESAIM: Control, Optimisation and Calculus of Variations

In this paper, we consider the approximation of second order evolution equations. It is well known that the approximated system by finite element or finite difference is not uniformly exponentially or polynomially stable with respect to the discretization parameter, even if the continuous system has this property. Our goal is to damp the spurious high frequency modes by introducing numerical viscosity terms in the approximation scheme. With these viscosity terms, we show the exponential or polynomial...

Uniformly exponentially stable approximations for a class of second order evolution equations

Karim Ramdani, Takéo Takahashi, Marius Tucsnak (2007)

ESAIM: Control, Optimisation and Calculus of Variations

We consider the approximation of a class of exponentially stable infinite dimensional linear systems modelling the damped vibrations of one dimensional vibrating systems or of square plates. It is by now well known that the approximating systems obtained by usual finite element or finite difference are not, in general, uniformly stable with respect to the discretization parameter. Our main result shows that, by adding a suitable numerical viscosity term in the numerical scheme, our approximations are...

Unique solvability and stability analysis of a generalized particle method for a Poisson equation in discrete Sobolev norms

Yusuke Imoto (2019)

Applications of Mathematics

Unique solvability and stability analysis is conducted for a generalized particle method for a Poisson equation with a source term given in divergence form. The generalized particle method is a numerical method for partial differential equations categorized into meshfree particle methods and generally indicates conventional particle methods such as smoothed particle hydrodynamics and moving particle semi-implicit methods. Unique solvability is derived for the generalized particle method for the...

Using a graph grammar system in the finite element method

Barbara Strug, Anna Paszyńska, Maciej Paszyński, Ewa Grabska (2013)

International Journal of Applied Mathematics and Computer Science

The paper presents a system of Composite Graph Grammars (CGGs) modelling adaptive two dimensional hp Finite Element Method (hp-FEM) algorithms with rectangular finite elements. A computational mesh is represented by a composite graph. The operations performed over the mesh are defined by the graph grammar rules. The CGG system contains different graph grammars defining different kinds of rules of mesh transformations. These grammars allow one to generate the initial mesh, assign values to element...

Valuation of two-factor options under the Merton jump-diffusion model using orthogonal spline wavelets

Černá, Dana (2023)

Programs and Algorithms of Numerical Mathematics

This paper addresses the two-asset Merton model for option pricing represented by non-stationary integro-differential equations with two state variables. The drawback of most classical methods for solving these types of equations is that the matrices arising from discretization are full and ill-conditioned. In this paper, we first transform the equation using logarithmic prices, drift removal, and localization. Then, we apply the Galerkin method with a recently proposed orthogonal cubic spline-wavelet...

Valuing barrier options using the adaptive discontinuous Galerkin method

Hozman, Jiří (2013)

Programs and Algorithms of Numerical Mathematics

This paper is devoted to barrier options and the main objective is to develop a sufficiently robust, accurate and efficient method for computation of their values driven according to the well-known Black-Scholes equation. The main idea is based on the discontinuous Galerkin method together with a spatial adaptive approach. This combination seems to be a promising technique for the solving of such problems with discontinuous solutions as well as for consequent optimization of the number of degrees...

Variational analysis for the Black and Scholes equation with stochastic volatility

Yves Achdou, Nicoletta Tchou (2002)

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

We propose a variational analysis for a Black and Scholes equation with stochastic volatility. This equation gives the price of a European option as a function of the time, of the price of the underlying asset and of the volatility when the volatility is a function of a mean reverting Orstein-Uhlenbeck process, possibly correlated with the underlying asset. The variational analysis involves weighted Sobolev spaces. It enables to prove qualitative properties of the solution, namely a maximum principle...

Variational Analysis for the Black and Scholes Equation with Stochastic Volatility

Yves Achdou, Nicoletta Tchou (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

We propose a variational analysis for a Black and Scholes equation with stochastic volatility. This equation gives the price of a European option as a function of the time, of the price of the underlying asset and of the volatility when the volatility is a function of a mean reverting Orstein-Uhlenbeck process, possibly correlated with the underlying asset. The variational analysis involves weighted Sobolev spaces. It enables to prove qualitative properties of the solution, namely a maximum principle...

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