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We consider the numerical approximation of the quantile hedging price in a non-linear market. In a Markovian framework, we propose a numerical method based on a Piecewise Constant Policy Timestepping (PCPT) scheme coupled with a monotone…
This paper serves to treat boundary conditions numerically with high order accuracy in order to match the two-stage fourth-order finite volume schemes for hyperbolic problems developed in [{\em J. Li and Z. Du, A two-stage fourth order…
This paper presents a rigorous finite element framework for solving an optimal control problem governed by the steady Navier-Stokes-Brinkman equations, focusing on identifying a scalar permeability parameter $\gamma$ from local velocity…
In this paper we present a new algorithm based on a Cartesian mesh for the numerical approximation of kinetic models on complex geometry boundary. Due to the high dimensional property, numerical algorithms based on unstructured meshes for a…
We develop in this paper a new regularized flow dynamic approach to construct efficient numerical schemes for Wasserstein gradient flows in Lagrangian coordinates. Instead of approximating the Wasserstein distance which needs to solve…
We review the construction and analysis of numerical methods for strongly nonlinear PDEs, with an emphasis on convex and nonconvex fully nonlinear equations and the convergence to viscosity solutions. We begin by describing a fundamental…
We introduce a new framework to deal with rough differential equations based on flows and their approximations. Our main result is to prove that measurable flows exist under weak conditions, even solutions to the corresponding rough…
In this article we consider a certain sub class of Integer Equal Flow problem, which are known NP hard [8]. Currently there exist no direct solutions for the same. It is a common problem in various inventory management systems. Here we…
Invariant discretization schemes are derived for the one- and two-dimensional shallow-water equations with periodic boundary conditions. While originally designed for constructing invariant finite difference schemes, we extend the usage of…
In this paper, a parameter-uniform fitted mesh finite difference scheme is constructed and analyzed for a class of singularly perturbed interior turning point problems. The solution of this class of turning point problem possess two outflow…
We introduce a high-order finite element method for approximating the Vlasov-Poisson equations. This approach employs continuous Lagrange polynomials in space and explicit Runge-Kutta schemes for time discretization. To stabilize the…
Riemann problems at geometric discontinuities are a classic and fascinating issue of hydraulics. In the present paper, the complete solution to the Riemann problem of the one-dimensional Shallow water Equations at monotonic width…
Different relaxation approximations to partial differential equations, including conservation laws, Hamilton-Jacobi equations, convection-diffusion problems, gas dynamics problems, have been recently proposed. The present paper focuses onto…
Recently, the nonlinearity continuation method has been used to numerically solve boundary value problems for steady-state Richards equation. The method can be considered as a predictor-corrector procedure with the simplest form which has…
We extend the nonconforming Trefftz virtual element method introduced in arXiv:1805.05634 to the case of the fluid-fluid interface problem, that is, a Helmholtz problem with piecewise constant wave number. With respect to the original…
Damped wave equations have been used in many real-world fields. In this paper, we study a low-rank solution of the strongly damped wave equation with the damping term, visco-elastic damping term and mass term. Firstly, a second-order finite…
The aim of this paper is to develop and analyze numerical schemes for approximately solving the backward problem of subdiffusion equation involving a fractional derivative in time with order $\alpha\in(0,1)$. After using quasi-boundary…
This work focuses on the numerical approximation of the Shallow Water Equations (SWE) using a Lagrange-Projection type approach. We propose to extend to this context recent implicit-explicit schemes developed in the framework of…
In this paper, we are concerned with the shallow water flow model over non-flat bottom topography by high-order schemes. Most of the numerical schemes in the literature are developed from the original mathematical model of the shallow water…
Many problems in electrical engineering or fluid mechanics can be modeled by parabolic-elliptic interface problems, where the domain for the exterior elliptic problem might be unbounded. A possibility to solve this class of problems…