Convergence of an adaptive discontinuous Galerkin method for the Biharmonic problem

In this thesis we develop a basic convergence result for an adaptive symmetric interior penalty discontinuous Galerkin discretisation for the Biharmonic problem which provides convergence without rates for arbitrary polynomial degree r≥2, all practically relevant marking strategies and all penalty parameters assuring coercivity of the method. We have to deal with the problem that the spaces consisting of piecewise polynomial functions may possibly contain no proper C^1-conforming subspace. This prevents from a straightforward generalisation of convergence results of adaptive discontinuous Galerkin methods for elliptic PDEs and requires the development of some new key technical tools. The convergence analysis is based on several embedding properties of (broken) Sobolev and BV spaces, and the construction of a suitable limit space of the non-conforming discrete spaces, created by the adaptive algorithm. Finally, the convergence result is validated through a number of numerical experiments

Convergence Analysis of the Lowest Order Weakly Penalized Adaptive Discontinuous Galerkin Methods

In this article, we prove convergence of the weakly penalized adaptive discontinuous Galerkin methods. Unlike other works, we derive the contraction property for various discontinuous Galerkin methods only assuming the stabilizing parameters are large enough to stabilize the method. A central idea in the analysis is to construct an auxiliary solution from the discontinuous Galerkin solution by a simple post processing. Based on the auxiliary solution, we define the adaptive algorithm which guides to the convergence of adaptive discontinuous Galerkin methods

An optimal order interior penalty discontinuous Galerkin discretization of the compressible Navier-Stokes equations

In this article we propose a new symmetric version of the interior penalty discontinuous Galerkin finite element method for the numerical approximation of the compressible Navier-Stokes equations. Here, particular emphasis is devoted to the construction of an optimal numerical method for the evaluation of certain target functionals of practical interest, such as the lift and drag coefficients of a body immersed in a viscous fluid. With this in mind, the key ingredients in the construction of the method include: (i) An adjoint consistent imposition of the boundary conditions; (ii) An adjoint consistent reformulation of the underlying target functional of practical interest; (iii) Design of appropriate interior--penalty stabilization terms. Numerical experiments presented within this article clearly indicate the optimality of the proposed method when the error is measured in terms of both the L2-norm, as well as for certain target functionals. Computational comparisons with other discontinuous Galerkin schemes proposed in the literature, including the second scheme of Bassi and Rebay, the standard SIPG method outlined in [Hartmann,Houston-2006], and an NIPG variant of the new scheme will be undertaken

Pricing European and American Options under Heston Model using Discontinuous Galerkin Finite Elements

This paper deals with pricing of European and American options, when the underlying asset price follows Heston model, via the interior penalty discontinuous Galerkin finite element method (dGFEM). The advantages of dGFEM space discretization with Rannacher smoothing as time integrator with nonsmooth initial and boundary conditions are illustrated for European vanilla options, digital call and American put options. The convection dominated Heston model for vanishing volatility is efficiently solved utilizing the adaptive dGFEM. For fast solution of the linear complementary problem of the American options, a projected successive over relaxation (PSOR) method is developed with the norm preconditioned dGFEM. We show the efficiency and accuracy of dGFEM for option pricing by conducting comparison analysis with other methods and numerical experiments