Eigenvalue problems for fully nonlinear elliptic partial differential equations with transport boundary conditions

Fully nonlinear elliptic partial differential equations (PDEs) arise in a number of applications. From mathematical finance to astrophysics, there is a great deal of interest in solving them. Eigenvalue problems for fully nonlinear PDEs with transport boundary conditions are of particular interest as alternative formulations of PDEs that require data to satisfy a solvability condition, which may not be known explicitly or may be polluted by noisy data. Nevertheless, these have not yet been well-explored in the literature. In this dissertation, a convergence framework for numerically solving eigenvalue problems for fully nonlinear PDEs is introduced. In addition, existing two-dimensional methods for nonlinear equations are extended to handle transport boundary conditions and eigenvalue problems. Finally, new techniques are designed to enable appropriate discretization of a large range of fully nonlinear three-dimensional equations

Courbure discrète : théorie et applications

International audienceThe present volume contains the proceedings of the 2013 Meeting on discrete curvature, held at CIRM, Luminy, France. The aim of this meeting was to bring together researchers from various backgrounds, ranging from mathematics to computer science, with a focus on both theory and applications. With 27 invited talks and 8 posters, the conference attracted 70 researchers from all over the world. The challenge of finding a common ground on the topic of discrete curvature was met with success, and these proceedings are a testimony of this wor

EQUADIFF 15

Equadiff 15 – Conference on Differential Equations and Their Applications – is an international conference in the world famous series Equadiff running since 70 years ago. This booklet contains conference materials related with the 15th Equadiff conference in the Czech and Slovak series, which was held in Brno in July 2022. It includes also a brief history of the East and West branches of Equadiff, abstracts of the plenary and invited talks, a detailed program of the conference, the list of participants, and portraits of four Czech and Slovak outstanding mathematicians

Impulse Control in Finance: Numerical Methods and Viscosity Solutions

The goal of this thesis is to provide efficient and provably convergent numerical methods for solving partial differential equations (PDEs) coming from impulse control problems motivated by finance. Impulses, which are controlled jumps in a stochastic process, are used to model realistic features in financial problems which cannot be captured by ordinary stochastic controls. The dynamic programming equations associated with impulse control problems are Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs) Other than in certain special cases, the numerical schemes that come from the discretization of HJBQVIs take the form of complicated nonlinear matrix equations also known as Bellman problems. We prove that a policy iteration algorithm can be used to compute their solutions. In order to do so, we employ the theory of weakly chained diagonally dominant (w.c.d.d.) matrices. As a byproduct of our analysis, we obtain some new results regarding a particular family of Markov decision processes which can be thought of as impulse control problems on a discrete state space and the relationship between w.c.d.d. matrices and M-matrices. Since HJBQVIs are nonlocal PDEs, we are unable to directly use the seminal result of Barles and Souganidis (concerning the convergence of monotone, stable, and consistent numerical schemes to the viscosity solution) to prove the convergence of our schemes. We address this issue by extending the work of Barles and Souganidis to nonlocal PDEs in a manner general enough to apply to HJBQVIs. We apply our schemes to compute the solutions of various classical problems from finance concerning optimal control of the exchange rate, optimal consumption with fixed and proportional transaction costs, and guaranteed minimum withdrawal benefits in variable annuities

Impulse Control in Finance: Numerical Methods and Viscosity Solutions

The goal of this thesis is to provide efficient and provably convergent numerical methods for solving partial differential equations (PDEs) coming from impulse control problems motivated by finance. Impulses, which are controlled jumps in a stochastic process, are used to model realistic features in financial problems which cannot be captured by ordinary stochastic controls. The dynamic programming equations associated with impulse control problems are Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs) Other than in certain special cases, the numerical schemes that come from the discretization of HJBQVIs take the form of complicated nonlinear matrix equations also known as Bellman problems. We prove that a policy iteration algorithm can be used to compute their solutions. In order to do so, we employ the theory of weakly chained diagonally dominant (w.c.d.d.) matrices. As a byproduct of our analysis, we obtain some new results regarding a particular family of Markov decision processes which can be thought of as impulse control problems on a discrete state space and the relationship between w.c.d.d. matrices and M-matrices. Since HJBQVIs are nonlocal PDEs, we are unable to directly use the seminal result of Barles and Souganidis (concerning the convergence of monotone, stable, and consistent numerical schemes to the viscosity solution) to prove the convergence of our schemes. We address this issue by extending the work of Barles and Souganidis to nonlocal PDEs in a manner general enough to apply to HJBQVIs. We apply our schemes to compute the solutions of various classical problems from finance concerning optimal control of the exchange rate, optimal consumption with fixed and proportional transaction costs, and guaranteed minimum withdrawal benefits in variable annuities

Generalized averaged Gaussian quadrature and applications

A simple numerical method for constructing the optimal generalized averaged Gaussian quadrature formulas will be presented. These formulas exist in many cases in which real positive GaussKronrod formulas do not exist, and can be used as an adequate alternative in order to estimate the error of a Gaussian rule. We also investigate the conditions under which the optimal averaged Gaussian quadrature formulas and their truncated variants are internal

MS FT-2-2 7 Orthogonal polynomials and quadrature: Theory, computation, and applications

Quadrature rules find many applications in science and engineering. Their analysis is a classical area of applied mathematics and continues to attract considerable attention. This seminar brings together speakers with expertise in a large variety of quadrature rules. It is the aim of the seminar to provide an overview of recent developments in the analysis of quadrature rules. The computation of error estimates and novel applications also are described

Numerical Methods for Partial Differential Equations

These lecture notes are devoted to the numerical solution of partial differential equations (PDEs). PDEs arise in many fields and are extremely important in modeling of technical processes with applications in physics, biology, chemisty, economics, mechanical engineering, and so forth. In these notes, not only classical topics for linear PDEs such as finite differences, finite elements, error estimation, and numerical solution schemes are addressed, but also schemes for nonlinear PDEs and coupled problems up to current state-of-the-art techniques are covered. In the Winter 2020/2021 an International Class with additional funding from DAAD (German Academic Exchange Service) and local funding from the Leibniz University Hannover, has led to additional online materials such as links to youtube videos, which complement these lecture notes. This is the updated and extended Version 2. The first version was published under the DOI: https://doi.org/10.15488/9248