Sharp Error Term in Local Limit Theorems and Mixing for Lorentz Gases with Infinite Horizon

We obtain sharp error rates in the local limit theorem for the Sinai billiard map (one and two dimensional) with infinite horizon. This result allows us to further obtain higher order terms and thus, sharp mixing rates in the speed of mixing of dynamically Hölder observables for the planar and tubular infinite horizon Lorentz gases in the map (discrete time) case. We also obtain an asymptotic estimate for the tail probability of the first return time to the initial cell. In the process, we study families of transfer operators for infinite horizon Sinai billiards perturbed with the free flight function and obtain higher order expansions for the associated families of eigenvalues and eigenprojectors.

Sharp error estimate for implicit finite element scheme for American put option

We investigate a numerical solution method for a degenerate parabolic variational inequality that determines American vanilla put pricing. This method is based on piecewise linear finite elements in spatial variables and the backward Euler finite difference in time variable. For the approximate solution, we get sharp error estimate of orderO(h+τ3/4) in the energy norm of the corresponding differential operator.

Two-Point Quadrature Rules for Riemann–Stieltjes Integrals with Lp–error estimates

In this work, we construct a new general two-point quadrature rules for the Riemann–Stieltjes integral $\int_a^b {f(t)} \,du\,(t)$, where the integrand f is assumed to be satisfied with the Hölder condition on [a, b] and the integrator u is of bounded variation on [a, b]. The dual formulas under the same assumption are proved. Some sharp error Lp–Error estimates for the proposed quadrature rules are also obtained.

High-frequency behaviour of corner singularities in Helmholtz problems

We analyze the singular behaviour of the Helmholtz equation set in a non-convex polygon. Classically, the solution of the problem is split into a regular part and one singular function for each re-entrant corner. The originality of our work is that the “amplitude” of the singular parts is bounded explicitly in terms of frequency. We show that for high frequency problems, the “dominant” part of the solution is the regular part. As an application, we derive sharp error estimates for finite element discretizations. These error estimates show that the “pollution effect” is not changed by the presence of singularities. Furthermore, a consequence of our theory is that locally refined meshes are not needed for high-frequency problems, unless a very accurate solution is required. These results are illustrated with numerical examples that are in accordance with the developed theory.