An anisotropic mesh adaptation method for the finite element solution of heterogeneous anisotropic diffusion problems

Heterogeneous anisotropic diffusion problems arise in the various areas of science and engineering including plasma physics, petroleum engineering, and image processing. Standard numerical methods can produce spurious oscillations when they are used to solve those problems. A common approach to avoid this difficulty is to design a proper numerical scheme and/or a proper mesh so that the numerical solution validates the discrete counterpart (DMP) of the maximum principle satisfied by the continuous solution. A well known mesh condition for the DMP satisfaction by the linear finite element solution of isotropic diffusion problems is the non-obtuse angle condition that requires the dihedral angles of mesh elements to be non-obtuse. In this paper, a generalization of the condition, the so-called anisotropic non-obtuse angle condition, is developed for the finite element solution of heterogeneous anisotropic diffusion problems. The new condition is essentially the same as the existing one except that the dihedral angles are now measured in a metric depending on the diffusion matrix of the underlying problem. Several variants of the new condition are obtained. Based on one of them, two metric tensors for use in anisotropic mesh generation are developed to account for DMP satisfaction and the combination of DMP satisfaction and mesh adaptivity. Numerical examples are given to demonstrate the features of the linear finite element method for anisotropic meshes generated with the metric tensors.Comment: 34 page

Application of Operator Splitting Methods in Finance

Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or multidimensional parabolic problems of the convection-diffusion type and generalizations thereof. An overview of various operator splitting methods is presented for the efficient numerical solution of these problems. Splitting schemes of the Alternating Direction Implicit (ADI) type are discussed for multidimensional problems, e.g. given by stochastic volatility (SV) models. For jump models Implicit-Explicit (IMEX) methods are considered which efficiently treat the nonlocal jump operator. For American options an easy-to-implement operator splitting method is described for the resulting linear complementarity problems. Numerical experiments are presented to illustrate the actual stability and convergence of the splitting schemes. Here European and American put options are considered under four asset price models: the classical Black-Scholes model, the Merton jump-diffusion model, the Heston SV model, and the Bates SV model with jumps

Verification of Unstructured Grid Adaptation Components

Adaptive unstructured grid techniques have made limited impact on production analysis workflows where the control of discretization error is critical to obtaining reliable simulation results. Recent progress has matured a number of independent implementations of flow solvers, error estimation methods, and anisotropic grid adaptation mechanics. Known differences and previously unknown differences in grid adaptation components and their integrated processes are identified here for study. Unstructured grid adaptation tools are verified using analytic functions and the Code Comparison Principle. Three analytic functions with different smoothness properties are adapted to show the impact of smoothness on implementation differences. A scalar advection-diffusion problem with an analytic solution that models a boundary layer is adapted to test individual grid adaptation components. Laminar flow over a delta wing and turbulent flow over an ONERA M6 wing are verified with multiple, independent grid adaptation procedures to show consistent convergence to fine-grid forces and a moment. The scalar problems illustrate known differences in a grid adaptation component implementation and a previously unknown interaction between components. The wing adaptation cases in the current study document a clear improvement to existing grid adaptation procedures. The stage is set for the infusion of verified grid adaptation into production fluid flow simulations