Grid generation for the solution of partial differential equations

A general survey of grid generators is presented with a concern for understanding why grids are necessary, how they are applied, and how they are generated. After an examination of the need for meshes, the overall applications setting is established with a categorization of the various connectivity patterns. This is split between structured grids and unstructured meshes. Altogether, the categorization establishes the foundation upon which grid generation techniques are developed. The two primary categories are algebraic techniques and partial differential equation techniques. These are each split into basic parts, and accordingly are individually examined in some detail. In the process, the interrelations between the various parts are accented. From the established background in the primary techniques, consideration is shifted to the topic of interactive grid generation and then to adaptive meshes. The setting for adaptivity is established with a suitable means to monitor severe solution behavior. Adaptive grids are considered first and are followed by adaptive triangular meshes. Then the consideration shifts to the temporal coupling between grid generators and PDE-solvers. To conclude, a reflection upon the discussion, herein, is given

Review of modern numerical methods for a simple vanilla option pricing problem

Option pricing is a very attractive issue of financial engineering and optimization. The problem of determining the fair price of an option arises from the assumptions made under a given financial market model. The increasing complexity of these market assumptions contributes to the popularity of the numerical treatment of option valuation. Therefore, the pricing and hedging of plain vanilla options under the Black–Scholes model usually serve as a bench-mark for the development of new numerical pricing approaches and methods designed for advanced option pricing models. The objective of the paper is to present and compare the methodological concepts for the valuation of simple vanilla options using the relatively modern numerical techniques in this issue which arise from the discontinuous Galerkin method, the wavelet approach and the fuzzy transform technique. A theoretical comparison is accompanied by an empirical study based on the numerical verification of simple vanilla option prices. The resulting numerical schemes represent a particularly effective option pricing tool that enables some features of options that are depend-ent on the discretization of the computational domain as well as the order of the polynomial approximation to be captured better

A Nitsche-based cut finite element method for a fluid--structure interaction problem

We present a new composite mesh finite element method for fluid--structure interaction problems. The method is based on surrounding the structure by a boundary-fitted fluid mesh which is embedded into a fixed background fluid mesh. The embedding allows for an arbitrary overlap of the fluid meshes. The coupling between the embedded and background fluid meshes is enforced using a stabilized Nitsche formulation which allows us to establish stability and optimal order \emph{a priori} error estimates, see~\cite{MassingLarsonLoggEtAl2013}. We consider here a steady state fluid--structure interaction problem where a hyperelastic structure interacts with a viscous fluid modeled by the Stokes equations. We evaluate an iterative solution procedure based on splitting and present three-dimensional numerical examples.Comment: Revised version, 18 pages, 7 figures. Accepted for publication in CAMCo