Related papers: Multigrid Iterative Algorithm based on Compact Fin…
A grid-overlay finite difference method is proposed for the numerical approximation of the fractional Laplacian on arbitrary bounded domains. The method uses an unstructured simplicial mesh and an overlay uniform grid for the underlying…
We present a comparison of different multigrid approaches for the solution of systems arising from high-order continuous finite element discretizations of elliptic partial differential equations on complex geometries. We consider the…
In a standard NP-complete optimization problem we introduce an interpolating algorithm between the quick decrease along the gradient (greedy dynamics) and a slow decrease close to the level curves (reluctant dynamics). We find that for a…
We present a Hermite interpolation based partial differential equation solver for Hamilton-Jacobi equations. Many Hamilton-Jacobi equations have a nonlinear dependency on the gradient, which gives rise to discontinuities in the derivatives…
Discrete variational methods show excellent performance in numerical simulations of different mechanical systems. In this paper, we introduce an iterative procedure for the solution of discrete variational equations for boundary value…
This paper describes a massively parallel algebraic multigrid method based on non-smoothed aggregation. It is especially suited for solving heterogeneous elliptic problems as it uses a greedy heuristic algorithm for the aggregation that…
We consider the computation of model-free bounds for multi-asset options in a setting that combines dependence uncertainty with additional information on the dependence structure. More specifically, we consider the setting where the…
In this paper a novel hybrid approach for compensating the distortion of any interpolation has been proposed. In this hybrid method, a modular approach was incorporated in an iterative fashion. By using this approach we can get drastic…
In this paper, we propose a $W$-cycle $p$-multigrid method for solving the $p$-version symmetric interior penalty discontinuous Galerkin (SIPDG) discretization of elliptic problems. This SIPDG discretization employs hierarchical Legendre…
We present a parallel algorithm for solving backward stochastic differential equations (BSDEs in short) which are very useful theoretic tools to deal with many financial problems ranging from option pricing option to risk management. Our…
An efficient nonlinear multigrid method for a mixed finite element method of the Darcy-Forchheimer model is constructed in this paper. A Peaceman-Rachford type iteration is used as a smoother to decouple the nonlinearity from the divergence…
In this article we propose a novel approach to reduce the computational complexity of various approximation methods for pricing discrete time American options. Given a sequence of continuation values estimates corresponding to different…
We show that using the multisplitting algorithm as a preconditioner for conjugate gradient inversion of the domain wall fermion Dirac operator could effectively reduce the inter-node communication cost, at the expense of performing more…
In the present work, the European option pricing SWIFT method is extended for Heston model calibration. The computation of the option price gradient is simplified thanks to the knowledge of the characteristic function in closed form. The…
We use high order finite difference methods to solve the wave equation in the second order form. The spatial discretization is performed by finite difference operators satisfying a summation-by-parts property. The focus of this work is on…
Ill-conditioning of the system matrix is a well-known complication in immersed finite element methods and trimmed isogeometric analysis. Elements with small intersections with the physical domain yield problematic eigenvalues in the system…
The solution of systems of linear(ized) equations lies at the heart of many problems in Scientific Computing. In particular for systems of large dimension, iterative methods are a primary approach. Stationary iterative methods are generally…
Interpolation of data on non-Euclidean spaces is an active research area fostered by its numerous applications. This work considers the Hermite interpolation problem: finding a sufficiently smooth manifold curve that interpolates a…
In this paper, we propose an algorithm combining the forward-backward splitting method and the alternative projection method for solving the system of splitting inclusion problem. We want to find a point in the interception of a finite…
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility jump models, e.g. in Bates model. In such models the option price is determined as the solution of a partial integro-differential…