A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations
نویسندگان
چکیده
منابع مشابه
A Finite Element Like Scheme for Integro-Partial Differential Hamilton-Jacobi-Bellman Equations
We construct a finite element like scheme for fully non-linear integropartial differential equations arising in optimal control of jump-processes. Special cases of these equations include optimal portfolio and option pricing equations in Finance. The schemes are monotone and robust. We prove that they converge in very general situations, including degenerate equations, multiple dimensions, rela...
متن کاملFinite difference method for solving partial integro-differential equations
In this paper, we have introduced a new method for solving a class of the partial integro-differential equation with the singular kernel by using the finite difference method. First, we employing an algorithm for solving the problem based on the Crank-Nicholson scheme with given conditions. Furthermore, we discrete the singular integral for solving of the problem. Also, the numerical results ob...
متن کاملA nonconforming mixed finite element method for semilinear pseudo-hyperbolic partial integro-differential equations
In this paper, a nonconforming mixed finite element method is studied for semilinear pseudo-hyperbolic partial integrodifferential equations. By use of the interpolation technique instead of the generalized elliptic projection, the optimal error estimates of the corresponding unknown function are given. Keywords—Pseudo-hyperbolic partial integro-differential equations; Nonconforming mixed eleme...
متن کاملA Compact Scheme for a Partial Integro-Differential Equation with Weakly Singular Kernel
Compact finite difference scheme is applied for a partial integro-differential equation with a weakly singular kernel. The product trapezoidal method is applied for discretization of the integral term. The order of accuracy in space and time is , where . Stability and convergence in norm are discussed through energy method. Numerical examples are provided to confirm the theoretical prediction ...
متن کاملH1-Galerkin mixed finite element methods for parabolic partial integro-differential equations
H1-Galerkin mixed finite element methods are analysed for parabolic partial integrodifferential equations which arise in mathematical models of reactive flows in porous media and of materials with memory effects. Depending on the physical quantities of interest, two methods are discussed. Optimal error estimates are derived for both semidiscrete and fully discrete schemes for problems in one sp...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SIAM Journal on Numerical Analysis
سال: 2009
ISSN: 0036-1429,1095-7170
DOI: 10.1137/080723144