688 research outputs found
Projection-based reduced order models for a cut finite element method in parametrized domains
This work presents a reduced order modeling technique built on a high fidelity embedded mesh finite element method. Such methods, and in particular the CutFEM method, are attractive in the generation of projection-based reduced order models thanks to their capabilities to seamlessly handle large deformations of parametrized domains and in general to handle topological changes. The combination of embedded methods and reduced order models allows us to obtain fast evaluation of parametrized problems, avoiding remeshing as well as the reference domain formulation, often used in the reduced order modeling for boundary fitted finite element formulations. The resulting novel methodology is presented on linear elliptic and Stokes problems, together with several test cases to assess its capability. The role of a proper extension and transport of embedded solutions to a common background is analyzed in detail. \ua9 2019 Elsevier Lt
Cut finite element error estimates for a class of nonliner elliptic PDEs
In the contexts of fluid–structure interaction and reduced order modeling for parametrically–dependent domains, immersed and embedded methods compare favorably to standard FEMs, providing simple and efficient schemes for the numerical approximation of PDEs in both cases of static and evolving geometries. In this note, the a priori analysis of unfitted numerical schemes with cut elements is extended beyond the realm of linear problems. More precisely, we consider the discretization of semilinear elliptic boundary value problems of the form −∆u + f1(u) = f2 with polynomial nonlinearity via the cut finite element method. Boundary conditions are enforced, using a Nitsche–type approach. To ensure stability and error estimates that are independent of the position of the boundary with respect to the mesh, the formulations are augmented with additional boundary zone ghost penalty terms. These terms act on the jumps of the normal gradients at faces associated with cut elements. A–priori error estimates are derived, while numerical examples illustrate the implementation of the method and validate the theoretical findings
Dry Markets and Superreplication Bounds of American Derivatives
This paper studies the impact of dry markets for underlying assets on the pricing of American derivatives, using a discrete time framework. Dry markets are characterized by the possibility of non-existence of trading at certain dates. Such non-existence may be deterministic or probabilistic. Using superreplicating strategies, we derive expectation representations for the range of arbitrage-free values of the dervatives. In the probabilistic case, if we consider an enlarged filtration induced by the price process and the market existence process, ordinary stopping times are required. If not, randomized stopping times are required. Several comparisons of the ranges obtained with the two market restrictions are performed. Finally, we conclude that arbitrage arguments are not enough to define the optimal exercise policy.N/
Fractional smoothness and applications in finance
This overview article concerns the notion of fractional smoothness of random
variables of the form , where is a certain
diffusion process. We review the connection to the real interpolation theory,
give examples and applications of this concept. The applications in stochastic
finance mainly concern the analysis of discrete time hedging errors. We close
the review by indicating some further developments.Comment: Chapter of AMAMEF book. 20 pages
An overview of Viscosity Solutions of Path-Dependent PDEs
This paper provides an overview of the recently developed notion of viscosity
solutions of path-dependent partial di erential equations. We start by a quick
review of the Crandall- Ishii notion of viscosity solutions, so as to motivate
the relevance of our de nition in the path-dependent case. We focus on the
wellposedness theory of such equations. In partic- ular, we provide a simple
presentation of the current existence and uniqueness arguments in the
semilinear case. We also review the stability property of this notion of
solutions, in- cluding the adaptation of the Barles-Souganidis monotonic scheme
approximation method. Our results rely crucially on the theory of optimal
stopping under nonlinear expectation. In the dominated case, we provide a
self-contained presentation of all required results. The fully nonlinear case
is more involved and is addressed in [12]
The geometry of spontaneous spiking in neuronal networks
The mathematical theory of pattern formation in electrically coupled networks
of excitable neurons forced by small noise is presented in this work. Using the
Freidlin-Wentzell large deviation theory for randomly perturbed dynamical
systems and the elements of the algebraic graph theory, we identify and analyze
the main regimes in the network dynamics in terms of the key control
parameters: excitability, coupling strength, and network topology. The analysis
reveals the geometry of spontaneous dynamics in electrically coupled network.
Specifically, we show that the location of the minima of a certain continuous
function on the surface of the unit n-cube encodes the most likely activity
patterns generated by the network. By studying how the minima of this function
evolve under the variation of the coupling strength, we describe the principal
transformations in the network dynamics. The minimization problem is also used
for the quantitative description of the main dynamical regimes and transitions
between them. In particular, for the weak and strong coupling regimes, we
present asymptotic formulas for the network activity rate as a function of the
coupling strength and the degree of the network. The variational analysis is
complemented by the stability analysis of the synchronous state in the strong
coupling regime. The stability estimates reveal the contribution of the network
connectivity and the properties of the cycle subspace associated with the graph
of the network to its synchronization properties. This work is motivated by the
experimental and modeling studies of the ensemble of neurons in the Locus
Coeruleus, a nucleus in the brainstem involved in the regulation of cognitive
performance and behavior
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
We consider a class of generalized capital asset pricing models in continuous
time with a finite number of agents and tradable securities. The securities may
not be sufficient to span all sources of uncertainty. If the agents have
exponential utility functions and the individual endowments are spanned by the
securities, an equilibrium exists and the agents' optimal trading strategies
are constant. Affine processes, and the theory of information-based asset
pricing are used to model the endogenous asset price dynamics and the terminal
payoff. The derived semi-explicit pricing formulae are applied to numerically
analyze the impact of the agents' risk aversion on the implied volatility of
simultaneously-traded European-style options.Comment: 24 pages, 4 figure
Brownian Motions on Metric Graphs
Brownian motions on a metric graph are defined. Their generators are
characterized as Laplace operators subject to Wentzell boundary at every
vertex. Conversely, given a set of Wentzell boundary conditions at the vertices
of a metric graph, a Brownian motion is constructed pathwise on this graph so
that its generator satisfies the given boundary conditions.Comment: 43 pages, 7 figures. 2nd revision of our article 1102.4937: The
introduction has been modified, several references were added. This article
will appear in the special issue of Journal of Mathematical Physics
celebrating Elliott Lieb's 80th birthda
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