scholarly journals Analysis of a Two-Level Algorithm for HDG Methods for Diffusion Problems

2016 ◽  
Vol 19 (5) ◽  
pp. 1435-1460 ◽  
Author(s):  
Binjie Li ◽  
Xiaoping Xie ◽  
Shiquan Zhang
Keyword(s):  
Convergence Rate ◽  
Numerical Experiments ◽  
Sharp Estimate ◽  
Model Problem ◽  
The Other ◽  
Extended Version ◽  
Weak Galerkin ◽  
Hybridizable Discontinuous Galerkin ◽  
Theoretical Results ◽  
Diffusion Problems

AbstractThis paper analyzes an abstract two-level algorithm for hybridizable discontinuous Galerkin (HDG) methods in a unified fashion. We use an extended version of the Xu-Zikatanov (X-Z) identity to derive a sharp estimate of the convergence rate of the algorithm, and show that the theoretical results also are applied to weak Galerkin (WG) methods. The main features of our analysis are twofold: one is that we only need the minimal regularity of the model problem; the other is that we do not require the triangulations to be quasi-uniform. Numerical experiments are provided to confirm the theoretical results.

A FAMILY OF MIMETIC FINITE DIFFERENCE METHODS ON POLYGONAL AND POLYHEDRAL MESHES

2005 ◽  
Vol 15 (10) ◽  
pp. 1533-1551 ◽  
Author(s):  
FRANCO BREZZI ◽  
KONSTANTIN LIPNIKOV ◽  
VALERIA SIMONCINI
Keyword(s):  
Finite Difference ◽  
Material Properties ◽  
Numerical Experiments ◽  
Finite Difference Methods ◽  
Polyhedral Meshes ◽  
Discretization Schemes ◽  
Difference Methods ◽  
Theoretical Results ◽  
Diffusion Problems

A family of inexpensive discretization schemes for diffusion problems on unstructured polygonal and polyhedral meshes is introduced. The material properties are described by a full tensor. The theoretical results are confirmed with numerical experiments.

A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations

2016 ◽  
Vol 9 (2) ◽  
pp. 262-288 ◽  
Author(s):  
Weidong Zhao ◽  
Wei Zhang ◽  
Lili Ju
Keyword(s):  
Differential Equations ◽  
Convergence Rate ◽  
Error Estimate ◽  
Stochastic Differential Equations ◽  
Numerical Experiments ◽  
Numerical Scheme ◽  
Backward Stochastic Differential Equations ◽  
Multistep Scheme ◽  
Theoretical Results ◽  
General Error

AbstractUpon a set of backward orthogonal polynomials, we propose a novel multi-step numerical scheme for solving the decoupled forward-backward stochastic differential equations (FBSDEs). Under Lipschtiz conditions on the coefficients of the FBSDEs, we first get a general error estimate result which implies zero-stability of the proposed scheme, and then we further prove that the convergence rate of the scheme can be of high order for Markovian FBSDEs. Some numerical experiments are presented to demonstrate the accuracy of the proposed multi-step scheme and to numerically verify the theoretical results.

scholarly journals A High Order Accurate and Effective Scheme for Solving Markovian Switching Stochastic Models

Mathematics ◽  
2021 ◽  
Vol 9 (6) ◽  
pp. 588
Author(s):  
Yang Li ◽  
Taitao Feng ◽  
Yaolei Wang ◽  
Yifei Xin
Keyword(s):  
Markov Chain ◽  
Convergence Rate ◽  
Stochastic Models ◽  
Stochastic Analysis ◽  
Numerical Experiments ◽  
Numerical Scheme ◽  
Special Property ◽  
Weak Order ◽  
Markovian Switching ◽  
Theoretical Results

In this paper, we propose a new weak order 2.0 numerical scheme for solving stochastic differential equations with Markovian switching (SDEwMS). Using the Malliavin stochastic analysis, we theoretically prove that the new scheme has local weak order 3.0 convergence rate. Combining the special property of Markov chain, we study the effects from the changes of state space on the convergence rate of the new scheme. Two numerical experiments are given to verify the theoretical results.

Some further estimates of the prolate spheroidal wave functions and their spectrum

2015 ◽  
Vol 0 (0) ◽  
Author(s):  
Aline Bonami ◽  
Abderrazek Karoui
Keyword(s):  
Recent Work ◽  
Numerical Experiments ◽  
Wave Functions ◽  
The Other ◽  
Prolate Spheroidal ◽  
Small Oscillations ◽  
Spheroidal Wave Functions ◽  
Prolate Spheroidal Wave Functions ◽  
Transition Bandwidth ◽  
Theoretical Results

AbstractWe complete here our recent work on explicit approximations of the Prolate Spheroidal Wave Functions (PSWFs) on the interval [-1,+1] and their associated spectra by pushing forward the methods in view of new results. We give in particular approximations of the ratio between large and small oscillations of PSWFs as well of the transition bandwidth for which the PSWF stops to take its largest values at the boundary of the interval. The aim of this work is two folds. On one hand, we prove a bunch of properties of the PSWFs and on the other hand, we illustrate the theoretical results by some numerical experiments.

Finite Difference Schemes for Convection-diffusion Problems with a Concentrated Source and a Discontinuous Convection Field

2001 ◽  
Vol 2 (1) ◽  
pp. 41-49 ◽  
Author(s):  
Torsten Linß
Keyword(s):  
Numerical Experiments ◽  
Perturbation Parameter ◽  
Diffusion Problem ◽  
Difference Schemes ◽  
Finite Difference Schemes ◽  
Convection Diffusion ◽  
Concentrated Source ◽  
General Meshes ◽  
Theoretical Results ◽  
Diffusion Problems

AbstractA singularly perturbed convection-diffusion problem with a concentrated source is considered. The problem is solved numerically using two upwind difference schemes on general meshes. We prove convergence, uniformly with respect to the perturbation parameter, in the discrete maximum norm on Shishkin and Bakhvalov meshes. Numerical experiments complement our theoretical results.

On the kinetics of Hadamard-type fractional differential systems

2020 ◽  
Vol 23 (2) ◽  
pp. 553-570 ◽  
Author(s):  
Li Ma
Keyword(s):  
Differential Operator ◽  
Numerical Simulations ◽  
Type Inequality ◽  
The Other ◽  
Differential Systems ◽  
Fractional Differential Systems ◽  
Fractional Differential Operator ◽  
Fractional Differential ◽  
Kinetics Of ◽  
Theoretical Results

AbstractThis paper is devoted to the investigation of the kinetics of Hadamard-type fractional differential systems (HTFDSs) in two aspects. On one hand, the nonexistence of non-trivial periodic solutions for general HTFDSs, which are considered in some functional spaces, is proved and the corresponding eigenfunction of Hadamard-type fractional differential operator is also discussed. On the other hand, by the generalized Gronwall-type inequality, we estimate the bound of the Lyapunov exponents for HTFDSs. In addition, numerical simulations are addressed to verify the obtained theoretical results.

scholarly journals An Intuitive Introduction to Fractional and Rough Volatilities

Mathematics ◽  
2021 ◽  
Vol 9 (9) ◽  
pp. 994
Author(s):  
Elisa Alòs ◽  
Jorge A. León
Keyword(s):  
Malliavin Calculus ◽  
Numerical Experiments ◽  
Implied Volatility ◽  
Natural Approach ◽  
Volatility Models ◽  
Implied Volatility Surface ◽  
Short Memory ◽  
White Type ◽  
Volatility Surface ◽  
Theoretical Results

Here, we review some results of fractional volatility models, where the volatility is driven by fractional Brownian motion (fBm). In these models, the future average volatility is not a process adapted to the underlying filtration, and fBm is not a semimartingale in general. So, we cannot use the classical Itô’s calculus to explain how the memory properties of fBm allow us to describe some empirical findings of the implied volatility surface through Hull and White type formulas. Thus, Malliavin calculus provides a natural approach to deal with the implied volatility without assuming any particular structure of the volatility. The aim of this paper is to provides the basic tools of Malliavin calculus for the study of fractional volatility models. That is, we explain how the long and short memory of fBm improves the description of the implied volatility. In particular, we consider in detail a model that combines the long and short memory properties of fBm as an example of the approach introduced in this paper. The theoretical results are tested with numerical experiments.

scholarly journals An efficient algorithm for estimating the parameters of superimposed exponential signals in multiplicative and additive noise

2013 ◽  
Vol 23 (1) ◽  
pp. 117-129 ◽  
Author(s):  
Jiawen Bian ◽  
Huiming Peng ◽  
Jing Xing ◽  
Zhihui Liu ◽  
Hongwei Li
Keyword(s):  
Parameter Estimation ◽  
Convergence Rate ◽  
Efficient Algorithm ◽  
Numerical Experiments ◽  
Additive Noise ◽  
Mean Squared Errors ◽  
Least Squares Estimators ◽  
The Mean ◽  
Newton Raphson ◽  
Raphson Algorithm

This paper considers parameter estimation of superimposed exponential signals in multiplicative and additive noise which are all independent and identically distributed. A modified Newton-Raphson algorithm is used to estimate the frequencies of the considered model, which is further used to estimate other linear parameters. It is proved that the modified Newton- Raphson algorithm is robust and the corresponding estimators of frequencies attain the same convergence rate with Least Squares Estimators (LSEs) under the same noise conditions, but it outperforms LSEs in terms of the mean squared errors. Finally, the effectiveness of the algorithm is verified by some numerical experiments.

Critical Value-Based Power Options Pricing Problems in Uncertain Financial Markets

2021 ◽  
pp. 2150002
Author(s):  
Guimin Yang ◽  
Yuanguo Zhu
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Numerical Experiments ◽  
Critical Value ◽  
The Other ◽  
Options Pricing ◽  
Underlying Asset ◽  
Pricing Problems ◽  
Fractional Differential ◽  
The One

Compared with investing an ordinary options, investing the power options may possibly yield greater returns. On the one hand, the power option is the best choice for those who want to maximize the leverage of the underlying market movements. On the other hand, power options can also prevent the financial market changes caused by the sharp fluctuations of the underlying assets. In this paper, we investigate the power option pricing problem in which the price of the underlying asset follows the Ornstein–Uhlenbeck type of model involving an uncertain fractional differential equation. Based on critical value criterion, the pricing formulas of European power options are derived. Finally, some numerical experiments are performed to illustrate the results.

scholarly journals Some Time Stepping Methods for Fractional Diffusion Problems with Nonsmooth Data

2018 ◽  
Vol 18 (1) ◽  
pp. 129-146 ◽  
Author(s):  
Yan Yang ◽  
Yubin Yan ◽  
Neville J. Ford
Keyword(s):  
Initial Data ◽  
Convergence Rate ◽  
Homogeneous Problem ◽  
Fractional Diffusion ◽  
Nonsmooth Data ◽  
Time Stepping ◽  
Time Discretisation ◽  
Nonsmooth Initial Data ◽  
Densely Defined ◽  
Diffusion Problems

AbstractWe consider error estimates for some time stepping methods for solving fractional diffusion problems with nonsmooth data in both homogeneous and inhomogeneous cases. McLean and Mustapha [18] established an {O(k)} convergence rate for the piecewise constant discontinuous Galerkin method with nonsmooth initial data for the homogeneous problem when the linear operator A is assumed to be self-adjoint, positive semidefinite and densely defined in a suitable Hilbert space, where k denotes the time step size. In this paper, we approximate the Riemann–Liouville fractional derivative by Diethelm’s method (or L1 scheme) and obtain the same time discretisation scheme as in McLean and Mustapha [18]. We first prove that this scheme has also convergence rate {O(k)} with nonsmooth initial data for the homogeneous problem when A is a closed, densely defined linear operator satisfying some certain resolvent estimates. We then introduce a new time discretisation scheme for the homogeneous problem based on the convolution quadrature and prove that the convergence rate of this new scheme is {O(k^{1+\alpha})}, {0<\alpha<1}, with the nonsmooth initial data. Using this new time discretisation scheme for the homogeneous problem, we define a time stepping method for the inhomogeneous problem and prove that the convergence rate of this method is {O(k^{1+\alpha})}, {0<\alpha<1}, with the nonsmooth data. Numerical examples are given to show that the numerical results are consistent with the theoretical results.

Sign in / Sign up

Export Citation Format

Share Document