Brezzi-Pitkaranta stabilization and a priori error analysis for the Stokes Control

In this study, we consider a Brezzi-Pitkaranta stabilization scheme for the optimal control problem governed by stationary Stokes equation, using a P1-P1 interpolation for velocity and pressure. We express the stabilization as extra terms added to the discrete variational form of the problem. We first prove the stability of the finite element discretization of the problem. Then, we derive a priori error bounds for each variable and present a numerical example to show the effectiveness of the stabilization clearly.

Semilocal Convergence for a Fifth-Order Newton's Method Using Recurrence Relations in Banach Spaces

We study a modified Newton's method with fifth-order convergence for nonlinear equations in Banach spaces. We make an attempt to establish the semilocal convergence of this method by using recurrence relations. The recurrence relations for the method are derived, and then an existence-uniqueness theorem is given to establish the R-order of the method to be five and a priori error bounds. Finally, a numerical application is presented to demonstrate our approach.

WHEN ARE SWING OPTIONS BANG-BANG?

In this paper we investigate a class of swing options with firm constraints in view of the modeling of supply agreements. We show, for a fully general payoff process, that the premium, solution to a stochastic control problem, is concave and piecewise affine as a function of the global constraints of the contract. The existence of bang-bang optimal controls is established for a set of constraints which generates by affinity the whole premium function. When the payoff process is driven by an underlying Markov process, we propose a quantization based recursive backward procedure to price these contracts. A priori error bounds are established, uniformly with respect to the global constraints.

ON THE R-ORDER CONVERGENCE OF A THIRD ORDER METHOD IN BANACH SPACES UNDER MILD DIFFERENTIABILITY CONDITIONS

The aim of this paper is to discuss the convergence of a third order method for solving nonlinear equations F(x)=0 in Banach spaces by using recurrence relations. The convergence of the method is established under the assumption that the second Fréchet derivative of F satisfies a condition that is milder than Lipschitz/Hölder continuity condition. A family of recurrence relations based on two parameters depending on F is also derived. An existence-uniqueness theorem is also given that establish convergence of the method and a priori error bounds. A numerical example is worked out to show that the method is successful even in cases where Lipschitz/Hölder continuity condition fails.