Degenerate stationary problems with homogeneous boundary conditions.
Degenerate two-phase incompressible flow problems III: Perturbation analysis and numerical experiments.
Derivation of high-order spectral methods for time-dependent PDE using modified moments.
Description of the multi-dimensional finite volume solver EULER
This paper is aimed at the description of the multi-dimensional finite volume solver EULER, which has been developed for the numerical solution of the compressible Euler equations during several last years. The present overview of numerical schemes and the explanation of numerical techniques and tricks which have been used for EULER could be of certain interest not only for registered users but also for numerical mathematicians who have decided to implement a finite volume solver themselves. This...
Description of the numerical algorithm of multidimensional domains imaging.
Determination of an unknown parameter in a semi-linear parabolic equation.
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...
Difference methods for non-linear partial differential equations of the first order
Difference methods for parabolic functional differential problems of the Neumann type
Nonlinear parabolic functional differential equations with initial boundary conditions of the Neumann type are considered. A general class of difference methods for the problem is constructed. Theorems on the convergence of difference schemes and error estimates of approximate solutions are presented. The proof of the stability of the difference functional problem is based on a comparison technique. Nonlinear estimates of the Perron type with respect to the functional variable for given functions...
Difference Schemes with Best Possible Truncation Error.
Difference schemes with nonlocal boundary conditions.
Diffusion limit of the Lorentz model : asymptotic preserving schemes
This paper deals with the diffusion limit of a kinetic equation where the collisions are modeled by a Lorentz type operator. The main aim is to construct a discrete scheme to approximate this equation which gives for any value of the Knudsen number, and in particular at the diffusive limit, the right discrete diffusion equation with the same value of the diffusion coefficient as in the continuous case. We are also naturally interested with a discretization which can be used with few velocity discretization...
Diffusion Limit of the Lorentz Model: Asymptotic Preserving Schemes
This paper deals with the diffusion limit of a kinetic equation where the collisions are modeled by a Lorentz type operator. The main aim is to construct a discrete scheme to approximate this equation which gives for any value of the Knudsen number, and in particular at the diffusive limit, the right discrete diffusion equation with the same value of the diffusion coefficient as in the continuous case. We are also naturally interested with a discretization which can be used with few velocity discretization...
Diffusion models and their accelerated solution in image and surface processing.
Direct approach to mean-curvature flow with topological changes
This contribution deals with the numerical simulation of dislocation dynamics. Dislocations are described by means of the evolution of a family of closed or open smooth curves , . The curves are driven by the normal velocity which is the function of curvature and the position. The evolution law reads as: . The motion law is treated using direct approach numerically solved by two schemes, i. e., backward Euler semi-implicit and semi-discrete method of lines. Numerical stability is improved...
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.