Related papers: Finite Element Method for HJB in Option Pricing wi…
In this paper, a new type of multi-level correction scheme is proposed for solving eigenvalue problems by finite element method. With this new scheme, the accuracy of eigenpair approximations can be improved after each correction step which…
We consider the harmonic map heat flow problem for a corotational case. For discretization of this problem we apply a $H^1$-conforming finite element method in space combined with a semi-implicit Euler time stepping. The semi-implicit Euler…
The Hessian discretisation method (HDM) for fourth order linear elliptic equations provides a unified convergence analysis framework based on three properties namely coercivity, consistency, and limit-conformity. Some examples that fit in…
Motivated by problems where the response is needed at select localized regions in a large computational domain, we devise a novel finite element discretization that results in exponential convergence at pre-selected points. The two key…
We study the problem of optimal pricing and hedging of a European option written on an illiquid asset $Z$ using a set of proxies: a liquid asset $S$, and $N$ liquid European options $P_i$, each written on a liquid asset $Y_i, i=1,N$. We…
In this paper, we focus on the problem of optimal portfolio-consumption policies in a multi-asset financial market, where the n risky assets follow Exponential Ornstein-Uhlenbeck processes, along with one risk-free bond. The investor's…
We address the problem of computing a control for a time-dependent nonlinear system to reach a target set in a minimal time. To solve this minimal time control problem, we introduce a hierarchy of linear semi-infinite programs, the values…
In this paper, we present a novel penalty approach for the numerical solution of continuously controlled HJB equations and HJB obstacle problems. Our results include estimates of the penalisation error for a class of penalty terms, and we…
The Finite Element Method (FEM) is a powerful computational tool for solving partial differential equations (PDEs). Although commercial and open-source FEM software packages are widely available, an independent implementation of FEM…
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…
The so-called matrix-element method (MEM) has long been used successfully as a classification tool in particle physics searches. In the presence of invisible final state particles, the traditional MEM typically assigns probabilities to an…
In this paper, we discuss the second-order finite element method (FEM) and finite difference method (FDM) for numerically solving elliptic cross-interface problems characterized by vertical and horizontal straight lines, piecewise constant…
This work focuses on a class of elliptic boundary value problems with diffusive, advective and reactive terms, motivated by the study of three-dimensional heterogeneous physical systems composed of two or more media separated by a selective…
We present a novel probabilistic finite element method (FEM) for the solution and uncertainty quantification of elliptic partial differential equations based on random meshes, which we call random mesh FEM (RM-FEM). Our methodology allows…
We propose and analyze an adaptive finite element method for a phase-field model of dynamic brittle fracture. The model couples a second-order hyperbolic equation for elastodynamics with the Ambrosio-Tortorelli regularization of the…
This work investigates an elliptic optimal control problem defined on uncertain domains and discretized by a fictitious domain finite element method and cut elements. Key ingredients of the study are to manage cases considering the usually…
Reservoir simulators utilize numerical techniques to solve the governing equations of fluid flow in porous media and they are essential tool for oil and gas fields development. In practical reservoir simulation, the finite difference method…
We propose and analyze a mixed finite element method for the spatial approximation of a time-fractional Fokker--Planck equation in a convex polyhedral domain, where the given driving force is a function of space. Taking into account the…
Finite element approximation of the velocity-pressure formulation of the surfaces Stokes equations is challenging because it is typically not possible to enforce both tangentiality and $H^1$ conformity of the velocity field. Most previous…
This paper is concerned with fully discrete finite element methods for approximating variational solutions of nonlinear stochastic elastic wave equations with multiplicative noise. A detailed analysis of the properties of the weak solution…