Sökning: "parabolic pde"

Visar resultat 1 - 5 av 14 avhandlingar innehållade orden parabolic pde.

  1. 1. An Object-Oriented Framework for PDE Solvers

    Författare :Krister Åhlander; Michael Thuné; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; PDE; Navier-Stokes; object-oriented; overlapping grids; Numerical Analysis; Numerisk analys;

    Sammanfattning : The issue of how to develop reusable software in scientific computing is addressed. With object-oriented analysis and design, an extendable set of collaborating objects - a framework named COMPOSE - is suggested in the area of "PDE solvers", i.e., programs that numerically solve partial differential equations (PDEs). LÄS MER

  3. 2. Spatial and Physical Splittings of Semilinear Parabolic Problems

    Författare :Erik Henningsson; Matematik LTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; splitting schemes; parabolic equations; semilinear; evolution equations; dissipative; convergence order; dimension splitting; domain decomposition; axonal growth;

    Sammanfattning : Splitting methods are widely used temporal approximation schemes for parabolic partial differential equations (PDEs). These schemes may be very efficient when a problem can be naturally decomposed into multiple parts. LÄS MER

  4. 3. Monotonicity formulas and applications in free boundary problems

    Författare :Anders Edquist; Henrik Shahgholian; Wolfgang Reichel; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Partial differential equations; PDE; Free boundary problems; Monotonicity formulas; Mathematical analysis; Analys;

    Sammanfattning : This thesis consists of three papers devoted to the study of monotonicity formulas and their applications in elliptic and parabolic free boundary problems. The first paper concerns an inhomogeneous parabolic problem. LÄS MER

  5. 4. Some Applications of Variational Inequalities in Mathematical Finance and Numerics

    Författare :Martin Dahlgren; Matematik LTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Matematik; Mathematics; HJB quasi variational inequalities; option pricing; Impulse control; parabolic PDE; finite element method; Galerkin method;

    Sammanfattning : This thesis contains two parts. The first part deals with a stochastic impulse control problem, subject to the restriction of a minimum time lapse in between interventions made by the controller. We prove existence of an optimal control and show that the value function of the control problem satisfies a system of quasi-variational inequalities. LÄS MER

  7. 5. Valuation and Optimal Strategies in Markets Experiencing Shocks

    Författare :Hannah Dyrssen; Erik Ekström; Damien Lamberton; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; American options; optimal stopping; game options; jump diffusion; jump to default; free-boundary problems; early exercise premium; integral equation; parabolic pde; convexity; sequential testing; fixed-point approach; Mathematics with specialization in Applied Mathematics; Matematik med inriktning mot tillämpad matematik;

    Sammanfattning : This thesis treats a range of stochastic methods with various applications, most notably in finance. It is comprised of five articles, and a summary of the key concepts and results these are built on.The first two papers consider a jump-to-default model, which is a model where some quantity, e.g. LÄS MER