The approximation of a Crank–Nicolson scheme for the stochastic Navier–Stokes equations

In this paper we prove the convergence of stochastic Navier–Stokes equations driven by white noise. A linearized version of the implicit Crank–Nicolson scheme is considered for the approximation of the solutions to the N–S equations. The noise is defined as the distributional derivative of a Wiener process and approximated by using the generalized _L2$L_2$-projection operator. Optimal strong convergence error estimates in the _L2$L_2$ norm are obtained.     

On smoothing of the Crank–Nicolson scheme and higher order schemes for pricing barrier options

Most option pricing problems have nonsmooth payoffs or discontinuous derivatives at the exercise price. Discrete barrier options have not only nonsmooth payoffs but also time dependent discontinuities. In pricing barrier options, certain aspects are triggered if the asset price becomes too high or too low. Standard smoothing schemes used to solve problems with nonsmooth payoff do not work well for discrete barrier options because of discontinuities introduced in the time domain when each barrier is applied. Moreover, these unwanted oscillations become worse when estimating the hedging parameters, e.g., Delta and Gamma. We have an improved smoothing strategy for the Crank–Nicolson method which is unique in achieving optimal order convergence for barrier option problems. Numerical experiments are discussed for one asset and two asset problems. Time evolution graphs are obtained for one asset problems to show how option prices change with respect to time. This smoothing strategy is then extended to higher order methods using diagonal (m,m)$(m,m)$—Padé main schemes under a smoothing strategy of using as damping schemes the (0,2m-1)$(0,2m-1)$ subdiagonal Padé schemes.     

RESEARCH ANNOUNCEMENTS On a Generalization of the c-numerical Range

Let Cn×n be the set of　n×n complex matrices and (?)n　the set of　orthonormal　n-tuples ofvectors in Cn.For a vector c in Cn　and a matrix A in Cn×n,the c-numerical range of　A is theset     

On a Generalization of Szász–Mirakjan–Kantorovich Operators

In this paper we introduce and study a sequence of positive linear operators acting on suitable spaces of measurable functions on [0,+∞[, including L ^p ([0,+∞[) spaces, 1 ≤ p < +∞, as well as continuous function spaces with polynomial weights. These operators generalize the Szász–Mirakjan–Kantorovich operators and they allow to approximate (or to reconstruct) suitable measurable functions by knowing their mean values on a sequence of subintervals of [0,+∞[ that do not constitute a subdivision of it. We also give some estimates of the rates of convergence by means of suitable moduli of smoothness.     

On a Generalization of Martins’ Inequality

 Let be an increasing nonconstant sequence of positive real numbers. Under certain conditions on this sequence we prove the following inequality

Crank–Nicolson Scheme for Abstract Linear Systems

This paper studies the Crank–Nicolson discretization scheme for abstract differential equations on a general Banach space. We show that a time-varying discretization of a bounded analytic C₀-semigroup leads to a bounded discrete-time system. On Hilbert spaces, this result can be extended to all bounded C₀-semigroups for which the inverse generator generates a bounded C₀-semigroup. The presentation is based on C₀-semigroup theory and uses a functional analysis approach.     

On a Generalization of Martins’ Inequality

 Let be an increasing nonconstant sequence of positive real numbers. Under certain conditions on this sequence we prove the following inequality

On the Convergence of BFGS Algorithm

In this paper, we consider unconstrained optimization problem (p) min{f(x)|x∈R~n}, where f(x) is continuously differentiable and the gradient g(x) of f(x) is Lipschitzian on R~n. Suppose sequence {x_i} is generated by BFGS algoritm when it is used to the problem (P) with exact or inexact line searches, i.e., the stepsize α_i satisfy either of the following conditions     

On One Generalization of the Hardy–Littlewood–Pólya Inequality

We generalize the Hardy–Littlewood–Pólya inequality for numerical sets to certain sets of vectors on a plane.     

A linearized Crank–Nicolson Galerkin FEMs for the nonlinear fractional Ginzburg–Landau equation

In this paper, we study a linearized Crank–Nicolson Galerkin finite element method for solving the nonlinear fractional Ginzburg–Landau equation. The boundedness, existence and uniqueness of the numerical solution are studied in details. Then we prove that the optimal error estimates hold unconditionally, in the sense that no restriction on the size of the time step in terms of the spatial mesh size needs to be assumed. Finally, numerical tests are investigated to support our theoretical analysis.     

On a Generalization of Voronin’s Theorem

Mathematical Notes - Voronin’s theorem states that the Riemann zeta-function ζ(s) is universal in the sense that all analytic functions that are defined and have no zeros on the right...     

On a Generalization of Some Restrictive Distribution Theorems

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Solving a variational parabolic equation with the periodic condition by a projection-difference method with the Crank–Nicolson scheme in time

A solution to a smoothly solvable linear variational parabolic equation with the periodic condition is sought in a separable Hilbert space by an approximate projection-difference method using an arbitrary finite-dimensional subspace in space variables and the Crank–Nicolson scheme in time. Solvability, uniqueness, and effective error estimates for approximate solutions are proven. We establish the convergence of approximate solutions to a solution as well as the convergence rate sharp in space variables and time.     

RESEARCH ANNOUNCEMENTS—On a Generalization of the c—numerical Range

Let Cn×n be the set of n × n complex matrices and An the set of orthonormal n-tuples of vectors in Cn. For a vector c in Cn and a matrix A in Cn×n, the c-numerical range of A is the set Wc(A)={n∑i=1 Ci(Axi,xi):(x1,…xn)∈∧n} When c = (1,0,…,0), Wc(A) is reduced to the classical numerical range W(A) (see [1]). For the classical numerical range and its generalizations, one may see the survey article[2].     

On the Generalization of Hörmander's Inequality

ABSTRACT

We are concerned with a lower bound with a gain of k/2 + 1 derivatives for the class OP N ^{m, k} (X, Σ) of pesudodifferential operators with characteristics of even multiplicity k ≥ 2. In the case of double characteristics operators (k = 2), we recapture a well-known inequality due to Hörmander.     

On a Zero-Sum Generalization of a Variation of Schur’s Equation

Let be a positive integer, and let denote the cyclic group of residues modulo m. Furthermore, let denote the minimum integer N such that for every function there exist m integers satisfying and (and ). It is shown that for every odd prime m. Daniel Schaal: Partially supported by a South Dakota Governor’s 2010 Individual Research Seed Grant.     

Energy Error Estimates for the Projection-Difference Method with the Crank–Nicolson Scheme for Parabolic Equations

We solve an abstract parabolic problem in a separable Hilbert space, using the projection-difference method. The spatial discretization is carried out by the Galerkin method and the time discretization, by the Crank–Nicolson scheme. On assuming weak solvability of the exact problem, we establish effective energy estimates for the error of approximate solutions. These estimates enable us to obtain the rate of convergence of approximate solutions to the exact solution in time up to the second order. Moreover, these estimates involve the approximation properties of the projection subspaces, which is illustrated by subspaces of the finite element type.     

On a Projective Generalization of Alperin’s Conjecture

In this paper, we prove that a projective generalization of theKnörr–Robinson formulation of Alperins conjecture holds ifthe ordinary form holds for a certain quotient group.