Related papers: On a Stable Method for Option Pricing: Discontinuo…
This study investigates the complex Landau equation, a reaction diffusion system with applications in nonlinear optics and fluid dynamics. The equation's nonlinear imaginary component introduces rich dynamics and significant computational…
We present a compact discontinuous Galerkin (CDG) method for an elliptic model problem. The problem is first cast as a system of first order equations by introducing the gradient of the primal unknown, or flux, as an additional variable. A…
In this article, several discontinuous Petrov-Galerkin (DPG) methods with perfectly matched layers (PMLs) are derived along with their quasi-optimal graph test norms. Ultimately, two different complex coordinate stretching strategies are…
This paper presents a duality theorem of the Aubin-Nitsche type for discontinuous Petrov Galerkin (DPG) methods. This explains the numerically observed higher convergence rates in weaker norms. Considering the specific example of the…
In earlier work [H. Liu and Z. Wang, J. Comput. Phys., 328(2017)], an arbitrary high-order conservative and energy-dissipative direct discontinuous Galerkin (DDG) scheme was developed. Although this scheme enforced solution positivity using…
We develop the Randomized Neural Networks with Petrov-Galerkin Methods (RNN-PG methods) to solve linear elasticity problems. RNN-PG methods use Petrov-Galerkin variational framework, where the solution is approximated by randomized neural…
In this paper we study dynamic pricing mechanisms of financial derivatives. A typical model of such pricing mechanism is the so-called g--expectation defined by solutions of a backward stochastic differential equation with g as its…
The development and application of the Discontinuous Galerkin (DG) method have attracted great attention in computational fluid dynamics (CFD) com- munity in the past decades. The underlying reason for such an intensive investigation is due…
In this paper, we develop discontinuous Galerkin (DG) methods for the Ostrovsky-Vakhnenko (OV) equation, which yields the shock solutions and singular soliton solutions, such as peakon, cuspon and loop solitons. The OV equation has also…
We study a fourth-order div problem and its approximation by the discontinuous Petrov-Galerkin method with optimal test functions. We present two variants, based on first and second-order systems. In both cases we prove well-posedness of…
For a general class of nonlinear port-Hamiltonian systems we develop a high-order time discretization scheme with certain structure preservation properties. The finite or infinite-dimensional system under consideration possesses a…
Discontinuous Galerkin (DG) methods for the numerical solution of partial differential equations have enjoyed considerable success because they are both flexible and robust: They allow arbitrary unstructured geometries and easy control of…
For hyperbolic conservation laws, traditional methods and physics-informed neural networks (PINNs) often encounter difficulties in capturing sharp discontinuities and maintaining temporal consistency. To address these challenges, we…
G-expectation, as a sublinear expectation, provides a powerful framework for modeling uncertainty in financial markets. Motivated by the need for robust valuation under model uncertainty, this work develops a unified risk-neutral valuation…
We present an algorithm for the calibration of local volatility from market option prices through deep self-consistent learning, by approximating both market option prices and local volatility using deep neural networks. Our method uses the…
This paper develops and analyses semi-discrete numerical method for two dimensional Vlasov-Stokes' system with periodic boundary condition. The method is based on coupling of semi-discrete discontinuous Galerkin method for the Vlasov…
A novel discontinuous Galerkin (DG) method is developed to solve time-dependent bi-harmonic type equations involving fourth derivatives in one and multiple space dimensions. We present the spatial DG discretization based on a mixed…
This work aims to construct and analyze a discontinuous Galerkin method on polytopal grids (PolydG) to solve the pseudo-stress formulation of the unsteady Stokes problem. The pseudo-stress variable is introduced due to the growing interest…
This paper is concerned with developing accurate and efficient numerical methods for one-dimensional fully nonlinear second order elliptic and parabolic partial differential equations (PDEs). In the paper we present a general framework for…
The discontinuous Galerkin (DG) method has been widely considered in recent years to develop scalable flow solvers for its ability to handle discontinuities, such as shocks and detonations, with greater accuracy and high arithmetic…