409 research outputs found
Efficient d-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations
Fast and efficient solution techniques are developed for high-dimensional parabolic partial differential equations (PDEs). In this paper we present a robust solver based on the Krylov subspace method Bi-CGSTAB combined with a powerful, and efficient, multigrid preconditioner. Instead of developing the perfect multigrid method, as a stand-alone solver for a single problem discretized on a certain grid, we aim for a method that converges well for a wide class of discrete problems arising from discretization on various anisotropic grids. This is exactly what we encounter during a sparse grid computation of a high-dimensional problem. Different multigrid components are discussed and presented with operator construction formulae. An option-pricing application is focused and presented with results computed with this method
A fully-coupled discontinuous Galerkin method for two-phase flow in porous media with discontinuous capillary pressure
In this paper we formulate and test numerically a fully-coupled discontinuous
Galerkin (DG) method for incompressible two-phase flow with discontinuous
capillary pressure. The spatial discretization uses the symmetric interior
penalty DG formulation with weighted averages and is based on a wetting-phase
potential / capillary potential formulation of the two-phase flow system. After
discretizing in time with diagonally implicit Runge-Kutta schemes the resulting
systems of nonlinear algebraic equations are solved with Newton's method and
the arising systems of linear equations are solved efficiently and in parallel
with an algebraic multigrid method. The new scheme is investigated for various
test problems from the literature and is also compared to a cell-centered
finite volume scheme in terms of accuracy and time to solution. We find that
the method is accurate, robust and efficient. In particular no post-processing
of the DG velocity field is necessary in contrast to results reported by
several authors for decoupled schemes. Moreover, the solver scales well in
parallel and three-dimensional problems with up to nearly 100 million degrees
of freedom per time step have been computed on 1000 processors
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
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