Front-fixing FEMs for the pricing of American options based on a PML technique

In this paper, efficient numerical methods are developed for the pricing of American options governed by the Black–Scholes equation. The front-fixing technique is first employed to transform the free boundary of optimal exercise prices to some a priori known temporal line for a one-dimensional parabolic problem via the change of variables. The perfectly matched layer (PML) technique is then applied to the pricing problem for the effective truncation of the semi-infinite domain. Finite element methods using the respective continuous and discontinuous Galerkin discretization are proposed for the resulting truncated PML problems related to the options and Greeks. The free boundary is determined by Newton’s method coupled with the discrete truncated PML problem. Stability and nonnegativeness are established for the approximate solution to the truncated PML problem. Under some weak assumptions on the PML medium parameters, it is also proved that the solution of the truncated PML problem converges to that of the unbounded Black–Scholes equation in the computational domain and decays exponentially in the perfectly matched layer. Numerical experiments are conducted to test the performance of the proposed methods and to compare them with some existing methods.     

A weak Galerkin finite element method for a coupled Stokes‐Darcy problem

In this article, we introduce and analyze a weak Galerkin finite element method for numerically solving the coupling of fluid flow with porous media flow. Flows are governed by the Stokes equations in primal velocity‐pressure formulation and Darcy equation in the second order primary formulation, respectively, and the corresponding transmission conditions are given by mass conservation, balance of normal forces, and the Beavers‐Joseph‐Saffman law. By using the weak Galerkin approach, we consider the two‐dimensional problem with the piecewise constant elements for approximations of the velocity, pressure, and hydraulic head. Stability and optimal error estimates are obtained. Finally, we provide several numerical results illustrating the good performance of the proposed scheme and confirming the optimal order of convergence provided by the weak Galerkin approximation. © 2017 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 33: 1352–1373, 2017     

Weak solvability of interior transmission problems via mixed finite elements and Dirichlet-to-Neumann mappings

We study the weak solvability of an interior linear-nonlinear transmission problem arising in steady heat transfer and potential theory. For the variational formulation, we use a Dirichlet-to-Neumann mapping on the interface, which is obtained from the application of the boundary integral method to the linear domain, and we utilize a mixed finite element method in the nonlinear region. Existence and uniqueness of solution for the continuous formulation are provided and general approximation results for a fully discrete Galerkin method are derived. In particular, a compatibility condition between the mesh sizes involved is deduced in order to conclude the solvability and stability of this Galerkin scheme.     

FINITE ELEMENT NONLINEAR GALERKIN COUPLING METHOD FOR THE EXTERIOR STEADY NAVIER-STOKES PROBLEM

1.IntroductionNonlinearGalerkinmethodsaremultilevelschemesforthedissipativeevolutionpartialdifferentialequations.Theycorrespondtothesplittingsoftheunknownu:u=y z)wherethecomponentsareofdifferentorderofmagnitudewithrespecttoaparameterrelatedtothespati...     

A Modified Weak Galerkin Finite Element Method for Sobolev Equation

For Sobolev equation, we present a new numerical scheme based on a modified weak Galerkin finite element method, in which differential operators are approximated by weak forms through the usual integration by parts. In particular, the numerical method allows the use of discontinuous finite element functions and arbitrary shape of element. Optimal order error estimates in discrete $H^1$ and $L^2$ norms are established for the corresponding modified weak Galerkin finite element solutions. Finally, some numerical results are given to verify theoretical results.     

定常不可压Navier—Stokes方程迎风格式

本文利用齐次定解条件对定常不可压Navier—Stokes方程的非线性项进行处理,给出了相应的一种迎风Galerkin有限元算法;针对这种迎风Galerkin有限元算法,在迎风参数满足一定条件下,利用其三项式具有的一些很好性质,更简单地证明了该问题解的存在唯一性。     

OPTIMIZATION APPROACH FOR THE MONGE-AMPèRE EQUATION

In this paper, we introduce and study a method for the numerical solution of the elliptic Monge-Ampère equation with Dirichlet boundary conditions. We formulate the Monge-Ampère equation as an optimization problem. The latter involves a Poisson Problem which is solved by the finite element Galerkin method and the minimum is computed by the conjugate gradient algorithm. We also present some numerical experiments.     

三维热传导型半导体问题的交替方向特征有限元方法及理论分析

１．引言 三维热传导型半导体器件瞬态问题的数学模型由四个非线性偏微分方程描述 ［１,２］．工程研究中一般考虑绝流边条件,由于绝流条件可以看作一反射条件来处理、为了数值分析方便,我们在此考虑三维周期问题： 其中,　＝［０,１］３,未知函数是电子位势　;电子,空穴浓度ｅ,ｐ;温度函数Ｔ．方程（１,１）－（１.４）中出现的系数均有正的上下界,且是　周期的． ａ＝Ｑ／ε,Ｑ,ε分别表示电子负荷和介电系数,均为正常数．Ｎ（ｘ）是给定的函数．Ｄｓ（ｘ）为扩散系数,μｓ（ｘ）为迁移率,ｓ＝ｅ,Ｐ．Ｒ（ｅ,ｐ,Ｔ）…     

Coupling of mixed finite element and stabilized boundary element methods for a fluid–solid interaction problem in 3D

We introduce and analyze the coupling of a mixed finite element and a boundary element for a three‐dimensional time‐harmonic fluid–solid interaction problem. We consider a formulation in which the Cauchy stress tensor and the rotation are the main variables in the elastic structure and use the usual pressure formulation in the acoustic fluid. The mixed variational formulation in the solid is completed with boundary integral equations relating the Cauchy data of the acoustic problem on the coupling interface. A crucial point in our formulation is the stabilization technique introduced by Hiptmair and coworkers to avoid the well‐known instability issue appearing in the boundary element method treatment of the exterior Helmholtz problem. The main novelty of this formulation, with respect to a previous approach, consists in reducing the computational domain to the solid media and providing a more accurate treatment of the far field effect. We show that the continuous problem is well‐posed and propose a conforming Galerkin method based on the lowest‐order Arnold–Falk–Winther mixed finite element. Finally, we prove that the numerical scheme is convergent with optimal order.Copyright © 2014 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 30: 1211–1233, 2014     

三维热传导型半导体问题的特征混合元方法和分析

本文研究三维热传导型半导体态问题的特征混合元方法及其理论分析,其数学模型是一类非线性偏微分方程的初边值问题,对电子位势方程提出混合元逼近,对电子,空穴浓度方程笔挺表限元逼近;对热传导方程采用对时间向后差分的Ｇａｌｅｒｋｉｎ逼近,应用微分方程先验估计理论和技巧得到了最优阶Ｌ＾２误差估计。     

The h-p version of the coupling of finite element and boundary element methods for transmission problems in polyhedral domains

Summary. This paper analyzes the rate of convergence of the h-p version of the coupling of the finite element and boundary element method for transmission problems with a linear differential operator with variable coefficients in a bounded polyhedral domain and with constant coefficients in the exterior domain . This procedure uses the variational formulation of the differential equation in and involves integral operators on the interface between and . The finite elements are used to obtain approximate solutions of the differential equation in and the boundary elements are used to obtain approximate solutions of the integral equations. For given piecewise analytic data we show that the Galerkin solution of this coupling procedure converges exponentially fast in the energy norm if the h-p version is used both for finite elements and boundary elements. Received February 10, 1996 / Revised version received April 4, 1997     

Constructing Order Two Superconvergent WG Finite Elements on Rectangular Meshes

In this paper, we introduce a stabilizer free weak Galerkin (SFWG) finite element method for second order elliptic problems on rectangular meshes. With a special weak Gradient space, an order two superconvergence for the SFWG finite element solution is obtained, in both $L^2$ and $H^1$ norms. A local post-process lifts such a $P_k$ weak Galerkin solution to an optimal order $P_{k+2}$ solution. The numerical results confirm the theory.     

ALTERNATING-DIRECTION MULTISTEP PRECONDITIONED ITERATIVE METHODS FOR SEMICONDUCTOR PROBLEM WITH HEAT-CONDUCTION

The model of transient behavior of semiconductor with heat-conduction is an initial and boundary problem. Alternating-direction multistep preconditioned iterative methods and theory analyses are given in this paper. Electric potential equation is approximated by mixed finite element method, concentration and heat-conduction equations are approximated by Galerkin alternating-direction multistep methods. Error estimates of optimal order in L2 are demonstrated.     

Error analysis of discontinuous Galerkin finite element method for optimal control problem governed by the transport equation

This article discusses a priori and a posteriori error estimates of discontinuous Galerkin finite element method for optimal control problem governed by the transport equation. We use variational discretization concept to discretize the control variable and discontinuous piecewise linear finite elements to approximate the state and costate variable. Based on the error estimates of discontinuous Galerkin finite element method for the transport equation, we get a priori and a posteriori error estimates for the transport equation optimal control problem. Finally, two numerical experiments are carried out to confirm the theoretical analysis.© 2017 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 33: 1493–1512, 2017     

关于薄板的无网格局部边界积分方程方法中的友解

无网格局部边界积分方程方法是最近发展起来的一种新的数值方法,这种方法综合了伽辽金有限元、边界元和无单元伽辽金法的优点,是一种具有广阔应用前景的、真正的无网格方法．把无网格局部边界积分方程方法应用于求解薄板问题,给出了薄板无网格局部边界积分方程方法所需要的友解及其全部公式．     

热传导型半导体问题的配置方法及误差分析

热传导型半导体瞬态问题的数学模型是一类非线性偏微分方程的初边值问题．电子位势方程是椭圆型的，电子、空穴浓度方程及热传导方程是抛物型的．该文给出求解的配置方法，得到次优犔２模误差估计，并将配置法和Ｇａｌｅｒｋｉｎ有限元方法进行数值结果比较．     

Primal mixed formulations for the coupling of FEM and BEM. Part I: linear problems

We apply the boundary integral equation method and a primal mixed finite element approach to study the weak solvability and Galerkin approximations of linear interior transmission problems arising in potential theory and elastostatics. The existence and uniqueness of solution of the resulting weak formulations and of the associated discrete schemes are derived by using the classical theory for variational problems with constraints. Suitable finite element subspaces of Lagrange type satisfying the compatibility conditions are utilized for defining the Galerkin scheme. The error analysis and corresponding rates of convergence are also provided.     

A weak Galerkin method for second order elliptic problems with polynomial reduction

The second order elliptic equation, which is also know as the diffusion-convection equation, is of great interest in many branches of physics and industry. In this paper, we use the weak Galerkin finite element method to study the general second order elliptic equation. A weak Galerkin finite element method is proposed and analyzed. This scheme features piecewise polynomials of degree $k\geq 1$ on each element and piecewise polynomials of degree $k-1\geq 0$ on each edge or face of the element. Error estimates of optimal order of convergence rate are established in both discrete $H^1$ and standard $L^2$ norm. The paper also presents some numerical experiments to verify the efficiency of the method.     

The coupling of boundary integral and finite element methods for the bidimensional exterior steady stokes problem

In this paper, we represent a new numerical method for solving the steady-state Stokes equations in an unbounded plane domain. The technique consists in coupling the boundary integral and the finite element methods. An artificial smooth boundary is introduced separating an interior inhomogeneous region from an exterior one. The solution in the exterior domain is represented by an integral equation over the artificial boundary. This integral equation is incorporated into a velocitypressure formulation for the interior region, and a finite element method is used to approximate the resulting variational problem. This is studied by means of an abstract framework, well adapted to the model problem, in which convergence results and optimal error estimates are derived. Computer results will be discussed in a forthcoming paper.     

A New Hybridized Mixed Weak Galerkin Method for Second-Order Elliptic Problems

In this paper, a new hybridized mixed formulation of weak Galerkin method is studied for a second order elliptic problem. This method is designed by approximate some operators with discontinuous piecewise polynomials in a shape regular finite element partition. Some discrete inequalities are presented on discontinuous spaces and optimal order error estimations are established. Some numerical results are reported to show super convergence and confirm the theory of the mixed weak Galerkin method.