Superconvergence estimates of finite element methods for American options

In this paper we are concerned with finite element approximations to the evaluation of American options. First, following W. Allegretto etc., SIAM J. Numer. Anal. 39 (2001), 834–857, we introduce a novel practical approach to the discussed problem, which involves the exact reformulation of the original problem and the implementation of the numerical solution over a very small region so that this algorithm is very rapid and highly accurate. Secondly by means of a superapproximation and interpolation postprocessing analysis technique, we present sharp L ²-, L ^∞-norm error estimates and an H ¹-norm superconvergence estimate for this finite element method. As a by-product, the global superconvergence result can be used to generate an efficient a posteriori error estimator. This work was supported in part by the National Natural Science Foundation of China (10471103 and 10771158), the National Basic Research Program (2007CB814906), Social Science Foundation of the Ministry of Education of China (Numerical Methods for Convertible Bonds, 06JA630047), Tianjin Natural Science Foundation (07JCY-BJC14300), and Tianjin University of Finance and Economics.     

Pointwise supercloseness of tensor‐product block finite elements

In this article, we first introduce interpolation operator of projection type in three dimensions, from which we then derive weak estimates for tensor‐product block finite elements of degree m ≥ 1. Finally, using estimates for the discrete Green's function and the discrete derivative Green's function, we prove that both of the gradient and the function value of the finite element solution u_h and the corresponding interpolant Π_mu of projection type and degree m are superclose in the pointwise sense of the L^∞‐norm. © 2008 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2009     

Analysis of search-extension method for finding multiple solutions of nonlinear problem

For numerical computations of multiple solutions of the nonlinear elliptic problemΔu f(u)=0 inΩ, u=0 onΓ, a search-extension method (SEM) was proposed and systematically studied by the authors. This paper shall complete its theoretical analysis. It is assumed that the nonlinearity is non-convex and its solution is isolated, under some conditions the corresponding linearized problem has a unique solution. By use of the compactness of the solution family and the contradiction argument, in general conditions, the high order regularity of the solution u∈H~(1 α),α>0 is proved. Assume that some initial value searched by suitably many eigenbases is already fallen into the neighborhood of the isolated solution, then the optimal error estimates of its nonlinear finite element approximation are shown by the duality argument and continuation method.     

The Characterization of Finite Simple Groups, L3（3^2m-1）（m≥2）, by Their Element Orders

In this paper the following theorem is proved： Every group L3（q） for q = 3^（2m-1）（m≥2） is characterized by its set of element orders.     

Regularity of viscosity solutions near KAM torus

In this paper, we give weak regularity theorems on P of u~ε(x, P), where u~ε(x, P)is the viscosity solution of the cell problem H_ε(P D_xu~ε, x)=H_ε(P).     

SOLVING SYMMETRIC MONOTONE LINEAR VARIATIONAL INEQUALITIES BY SOME MODIFIED LEVITIN-POLYAK PROJECTION METHODS

Some modified Levitin-Polyak projection methods are proposed in this paper for solving monotone linear variational inequality x∈Ω，（x′-x)^T(Hx c)≤0，for any x′∈Ω.It is pointed out that there are similar methods for solving a general linear variational inequality.     

The Bass-Quillen problem on a class of local rings with weak global dimension two

Let (R,m) be a local GCD domain. R is called a U2 ring if there is an element u ∈ m-m2 such that R/(u) is a valuation domain and Ru is a B′ezout domain. In this case u is called a normal element of R. In this paper we prove that if R is a U2 ring, then R and R[x] are coherent; moreover, if R has a normal element u and dim(R/(u)) = 1, then every finitely generated projective module over R[X] is free.     

Superconvergence for triangular finite elements

Based on two classes of the orthogonal expansions in a triangle, superconvergence of m-degree triangular finite element solution (for evenm) and its average gradient (for oddm) at symmetric points for a second order elliptic problem are studied. There are no other superconvergence points independent of the coefficients of elliptic equation. Project supported by the National Natural Science Foundation of China (Grant No. 19331021).     

L p -dual Quermassintegral sums

In this paper, we first introduce a concept of L _p -dual Quermassintegral sum function of convex bodies and establish the polar projection Minkowski inequality and the polar projection Aleksandrov-Fenchel inequality for L _p -dual Quermassintegral sums. Moreover, by using Lutwak’s width-integral of index i, we establish the L _p -Brunn-Minkowski inequality for the polar mixed projection bodies. As applications, we prove some interrelated results. This work was partially supported by the National Natural Science Foundation of China (Grant No. 10271071), Zhejiang Provincial Natural Science Foundation of China (Grant No. Y605065) and Foundation of the Education Department of Zhejiang Province of China (Grant No. 20050392)     

Nonconforming <Emphasis Type="Italic">H</Emphasis><Superscript>1</Superscript>-Galerkin mixed FEM for Sobolev equations on anisotropic meshes

A nonconforming H^1-Calerkin mixed finite element method is analyzed for Sobolev equations on anisotropic meshes. The error estimates are obtained without using Ritz-Volterra projection.     

Existence of three HMOLS of type 2<Superscript><Emphasis Type="Italic">n</Emphasis></Superscript><Emphasis Type="Italic">u</Emphasis><Superscript>1</Superscript>

A Latin squares of order v with ni missing sub-Latin squares （holes） of order hi （1 〈= i 〈 k）, which are disjoint and spanning （i.e. ∑k i=l1 nihi = v）, is called a partitioned incomplete Latin squares and denoted by PILS. The type of PILS is defined by （h1n1 h2n2…hknk ）. If any two PILS inaset of t PILS of type T are orthogonal, then we denote the set by t-HMOLS（T）. It has been proved that 3-HMOLS（2n31） exist for n ≥6 with 11 possible exceptions. In this paper, we investigate the existence of 3-HMOLS（2nu1） with u ≥ 4, and prove that 3-HMOLS（2~u1） exist if n ≥ 54 and n ≥7/4u ＋ 7.     

Finite p-Groups Whose Abelian Subgroups Have a Trivial Intersection

A subgroup H of a finite group G is called a TI-subgroup if H ∩ H^x = 1 or H for all x ∈ G. In this paper, a complete classification for finite p-groups, in which all abelian subgroups are TI-subgroups, is given.     

Asymptotic Behaviors of the Solutions to Scalar Viscous Conservation Laws on Bounded Interval

Abstract This paper concerns the asymptotic behaviors of the solutions to the initial-boundary value prob-lem for scalar viscous conservations laws u_t+f(u)_x=u_(xx) on[0,1],with the boundary condition u(0,t) =u_,u(1,t)=u_+ and the initial data u(x,0)=u_0(x,0)=u_0(x),where u_≠u_+ and f is a given function satisfyingf'(u)>0 for u under consideration.By means of energy estimates method and under some more regular condi-tions on the initial data,both the global existence and the asymptotic behavior are obtained.When u_u_+, which corresponds to shock waves in inviscid conservation laws, it is established for weak shockwaves,which means that │u_-u_+│is small.Moreover,exponential decay rates are both given.     

Solutions and Multiple Solutions for p（x）-Laplacian Equations with Nonlinear Boundary Condition

The authors study the p（x）-Laplacian equations with nonlinear boundary condition. By using the variational method, under appropriate assumptions on the perturbation terms f1 （x, u）, f2（x, u） and h1（x）, h2（x）, such that the associated functional satisfies the ＂mountain pass lemma＂ and ＂fountain theorem＂ respectively, the existence and multiplicity of solutions are obtained. The discussion is based on the theory of variable exponent Lebesgue and Sobolev spaces.     

On the value distribution of <Emphasis Type="Italic">ƒ</Emphasis> + <Emphasis Type="Italic">a</Emphasis>(<Emphasis Type="Italic">ƒ</Emphasis>′)<Superscript><Emphasis Type="Italic">n</Emphasis></Superscript>

Let ƒ be a transcendental meromorphic function, a a nonzero finite complex number, and n ⩾ 2 a positive integer. Then ƒ + a(ƒ′) ⁿ assumes every complex value infinitely often. This answers a question of Ye for n = 2. A related normality criterion is also given. This work was supported by the National Natural Science Foundation of China (Grant No. 10771076), the Natural Science Foundation of Guangdong Province, China (Grant No. 07006700) and by the German-Israeli Foundation for Scientific Research and Development (Grant No. G-809-234.6/2003)     

Finite groups in which elements of the same order outside the center are conjugate

We prove that if G is a finite group in which the elements of the same order outside the center are conjugate,then either G is abelian or G(?)S_3.     

Modified likelihood ratio test for homogeneity in bivariate normal mixtures with presence of a structural parameter

This paper investigates the asymptotic properties of the modified likelihood ratio statistic for testing homogeneity in bivariate normal mixture models with an unknown structural parameter. It is shown that the modified likelihood ratio statistic has χ22 null limiting distribution.     

Vacuum states on compressible Navier-Stokes equations with general density-dependent viscosity and general pressure law

In this paper,we study the one-dimensional motion of viscous gas with a general pres- sure law and a general density-dependent viscosity coefficient when the initial density connects to the vacuum state with a jump.We prove the global existence and the uniqueness of weak solutions to the compressible Navier-Stokes equations by using the line method.For this,some new a priori estimates are obtained to take care of the general viscosity coefficientμ(ρ)instead ofρ~θ.     

Weak Morrey spaces and strong solutions to the Navier-Stokes equations

We consider the Cauchy problem of Navier-Stokes equations in weak Morrey spaces. We first define a class of weak Morrey type spaces Mp*,λ(Rn) on the basis of Lorentz space Lp,∞ = Lp*(Rn)(in particular, Mp*,0(Rn) = Lp,∞, if p ＞ 1), and study some fundamental properties of them; Second,bounded linear operators on weak Morrey spaces, and establish the bilinear estimate in weak Morrey spaces. Finally, by means of Kato's method and the contraction mapping principle, we prove that the Cauchy problem of Navier-Stokes equations in weak Morrey spaces Mp*,λ(Rn) (1＜p≤n) is time-global well-posed, provided that the initial data are sufficiently small. Moreover, we also obtain the existence and uniqueness of the self-similar solution for Navier-Stokes equations in these spaces, because the weak Morrey space Mp*,n-p(Rn) can admit the singular initial data with a self-similar structure. Hence this paper generalizes Kato's results.     

Numerical study of natural superconvergence in least-squares finite element methods for elliptic problems

Natural superconvergence of the least-squares finite element method is surveyed for the one-and two-dimensional Poisson equation. For two-dimensional problems, both the families of Lagrange elements and Raviart-Thomas elements have been considered on uniform triangular and rectangular meshes. Numerical experiments reveal that many superconvergence properties of the standard Galerkin method are preserved by the least-squares finite element method. The second author was supported in part by the US National Science Foundation under Grant DMS-0612908.