Search results for "Discretization"
showing 7 items of 237 documents
Interface Detection Using a Quenched-Noise Version of the Edwards-Wilkinson Equation
2015
We report here a multipurpose dynamic-interface-based segmentation tool, suitable for segmenting planar, cylindrical, and spherical surfaces in 3D. The method is fast enough to be used conveniently even for large images. Its implementation is straightforward and can be easily realized in many environments. Its memory consumption is low, and the set of parameters is small and easy to understand. The method is based on the Edwards-Wilkinson equation, which is traditionally used to model the equilibrium fluctuations of a propagating interface under the influence of temporally and spatially varying noise. We report here an adaptation of this equation into multidimensional image segmentation, an…
Reduced Order Models for Pricing American Options under Stochastic Volatility and Jump-diffusion Models
2016
American options can be priced by solving linear complementary problems (LCPs) with parabolic partial(-integro) differential operators under stochastic volatility and jump-diffusion models like Heston, Merton, and Bates models. These operators are discretized using finite difference methods leading to a so-called full order model (FOM). Here reduced order models (ROMs) are derived employing proper orthogonal decomposition (POD) and non negative matrix factorization (NNMF) in order to make pricing much faster within a given model parameter variation range. The numerical experiments demonstrate orders of magnitude faster pricing with ROMs. peerReviewed
Iterative Methods for Pricing American Options under the Bates Model
2013
We consider the numerical pricing of American options under the Bates model which adds log-normally distributed jumps for the asset value to the Heston stochastic volatility model. A linear complementarity problem (LCP) is formulated where partial derivatives are discretized using finite differences and the integral resulting from the jumps is evaluated using simple quadrature. A rapidly converging fixed point iteration is described for the LCP, where each iterate requires the solution of an LCP. These are easily solved using a projected algebraic multigrid (PAMG) method. The numerical experiments demonstrate the efficiency of the proposed approach. Furthermore, they show that the PAMG meth…
A New Augmented Lagrangian Approach for $L^1$-mean Curvature Image Denoising
2015
Variational methods are commonly used to solve noise removal problems. In this paper, we present an augmented Lagrangian-based approach that uses a discrete form of the L1-norm of the mean curvature of the graph of the image as a regularizer, discretization being achieved via a finite element method. When a particular alternating direction method of multipliers is applied to the solution of the resulting saddle-point problem, this solution reduces to an iterative sequential solution of four subproblems. These subproblems are solved using Newton’s method, the conjugate gradient method, and a partial solution variant of the cyclic reduction method. The approach considered here differs from ex…
IMEX schemes for pricing options under jump–diffusion models
2014
We propose families of IMEX time discretization schemes for the partial integro-differential equation derived for the pricing of options under a jump-diffusion process. The schemes include the families of IMEX-midpoint, IMEX-CNAB and IMEX-BDF2 schemes. Each family is defined by a convex combination parameter [email protected]?[0,1], which divides the zeroth-order term due to the jumps between the implicit and explicit parts in the time discretization. These IMEX schemes lead to tridiagonal systems, which can be solved extremely efficiently. The schemes are studied through Fourier stability analysis and numerical experiments. It is found that, under suitable assumptions and time step restric…
Efficient Time Integration of Maxwell's Equations with Generalized Finite Differences
2015
We consider the computationally efficient time integration of Maxwell’s equations using discrete exterior calculus (DEC) as the computational framework. With the theory of DEC, we associate the degrees of freedom of the electric and magnetic fields with primal and dual mesh structures, respectively. We concentrate on mesh constructions that imitate the geometry of the close packing in crystal lattices that is typical of elemental metals and intermetallic compounds. This class of computational grids has not been used previously in electromagnetics. For the simulation of wave propagation driven by time-harmonic source terms, we provide an optimized Hodge operator and a novel time discretizati…
Regularity for nonlinear stochastic games
2015
We establish regularity for functions satisfying a dynamic programming equation, which may arise for example from stochastic games or discretization schemes. Our results can also be utilized in obtaining regularity and existence results for the corresponding partial differential equations. peerReviewed