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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Stable numerical methodology for variational inequalities with application in quantitative finance and computational mechanics

Damircheli, Davood 09 December 2022 (has links)
Coercivity is a characteristic property of the bilinear term in a weak form of a partial differential equation in both infinite space and the corresponding finite space utilized by a numerical scheme. This concept implies \textit{stability} and \textit{well-posedness} of the weak form in both the exact solution and the numerical solution. In fact, the loss of this property especially in finite dimension cases leads to instability of the numerical scheme. This phenomenon occurs in three major families of problems consisting of advection-diffusion equation with dominant advection term, elastic analysis of very thin beams, and associated plasticity and non-associated plasticity problems. There are two main paths to overcome the loss of coercivity, first manipulating and stabilizing a weak form to ensure that the discrete weak form is coercive, second using an automatically stable method to estimate the solution space such as the Discontinuous Petrov Galerkin (DPG) method in which the optimal test space is attained during the design of the method in such a way that the scheme keeps the coercivity inherently. In this dissertation, A stable numerical method for the aforementioned problems is proposed. A stabilized finite element method for the problem of migration risk problem which belongs to the family of the advection-diffusion problems is designed and thoroughly analyzed. Moreover, DPG method is exploited for a wide range of valuing option problems under the black-Scholes model including vanilla options, American options, Asian options, double knock barrier options where they all belong to family of advection-diffusion problem, and elastic analysis of Timoshenko beam theory. Besides, The problem of American option pricing, migration risk, and plasticity problems can be categorized as a free boundary value problem which has their extra complexity, and optimization theory and variational inequality are the main tools to study these families of the problems. Thus, an overview of the classic definition of variational inequalities and different tools and methods to study analytically and numerically this family of problems is provided and a novel adjoint sensitivity analysis of variational inequalities is proposed.
2

Adaptive Discontinuous Petrov-Galerkin Finite-Element-Methods

Hellwig, Friederike 12 June 2019 (has links)
Die vorliegende Arbeit "Adaptive Discontinuous Petrov-Galerkin Finite-Element-Methods" beweist optimale Konvergenzraten für vier diskontinuierliche Petrov-Galerkin (dPG) Finite-Elemente-Methoden für das Poisson-Modell-Problem für genügend feine Anfangstriangulierung. Sie zeigt dazu die Äquivalenz dieser vier Methoden zu zwei anderen Klassen von Methoden, den reduzierten gemischten Methoden und den verallgemeinerten Least-Squares-Methoden. Die erste Klasse benutzt ein gemischtes System aus konformen Courant- und nichtkonformen Crouzeix-Raviart-Finite-Elemente-Funktionen. Die zweite Klasse verallgemeinert die Standard-Least-Squares-Methoden durch eine Mittelpunktsquadratur und Gewichtsfunktionen. Diese Arbeit verallgemeinert ein Resultat aus [Carstensen, Bringmann, Hellwig, Wriggers 2018], indem die vier dPG-Methoden simultan als Spezialfälle dieser zwei Klassen charakterisiert werden. Sie entwickelt alternative Fehlerschätzer für beide Methoden und beweist deren Zuverlässigkeit und Effizienz. Ein Hauptresultat der Arbeit ist der Beweis optimaler Konvergenzraten der adaptiven Methoden durch Beweis der Axiome aus [Carstensen, Feischl, Page, Praetorius 2014]. Daraus folgen dann insbesondere die optimalen Konvergenzraten der vier dPG-Methoden. Numerische Experimente bestätigen diese optimalen Konvergenzraten für beide Klassen von Methoden. Außerdem ergänzen sie die Theorie durch ausführliche Vergleiche beider Methoden untereinander und mit den äquivalenten dPG-Methoden. / The thesis "Adaptive Discontinuous Petrov-Galerkin Finite-Element-Methods" proves optimal convergence rates for four lowest-order discontinuous Petrov-Galerkin methods for the Poisson model problem for a sufficiently small initial mesh-size in two different ways by equivalences to two other non-standard classes of finite element methods, the reduced mixed and the weighted Least-Squares method. The first is a mixed system of equations with first-order conforming Courant and nonconforming Crouzeix-Raviart functions. The second is a generalized Least-Squares formulation with a midpoint quadrature rule and weight functions. The thesis generalizes a result on the primal discontinuous Petrov-Galerkin method from [Carstensen, Bringmann, Hellwig, Wriggers 2018] and characterizes all four discontinuous Petrov-Galerkin methods simultaneously as particular instances of these methods. It establishes alternative reliable and efficient error estimators for both methods. A main accomplishment of this thesis is the proof of optimal convergence rates of the adaptive schemes in the axiomatic framework [Carstensen, Feischl, Page, Praetorius 2014]. The optimal convergence rates of the four discontinuous Petrov-Galerkin methods then follow as special cases from this rate-optimality. Numerical experiments verify the optimal convergence rates of both types of methods for different choices of parameters. Moreover, they complement the theory by a thorough comparison of both methods among each other and with their equivalent discontinuous Petrov-Galerkin schemes.

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