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美式期权定价问题的数值方法 被引量:43
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作者 张铁 《应用数学学报》 CSCD 北大核心 2002年第1期113-122,共10页
本文研究美式股票看跌期权定价问题的数值方法.通过将问题转化为等价的变分不等式方程,分别建立了半离散和全离散有限元逼近格式,并给出了有限元解的收敛性和稳定性分析.数值实验表明本文算法是一个高效和收敛的算法.
关键词 美式期权定价问题 数值方法 美式看跌期权 变分不等式 有限元逼近 收敛性 期权市场 股票
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A PRIORI ERROR ESTIMATE AND SUPERCONVERGENCE ANALYSIS FOR AN OPTIMAL CONTROL PROBLEM OF BILINEAR TYPE 被引量:12
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作者 Danping Yang Yanzhen Chang Wenbin Liu 《Journal of Computational Mathematics》 SCIE EI CSCD 2008年第4期471-487,共17页
In this paper, we investigate a priori error estimates and superconvergence properties for a model optimal control problem of bilinear type, which includes some parameter estimation application. The state and co-state... In this paper, we investigate a priori error estimates and superconvergence properties for a model optimal control problem of bilinear type, which includes some parameter estimation application. The state and co-state are discretized by piecewise linear functions and control is approximated by piecewise constant functions. We derive a priori error estimates and superconvergence analysis for both the control and the state approximations. We also give the optimal L^2-norm error estimates and the almost optimal L^∞-norm estimates about the state and co-state. The results can be readily used for constructing a posteriori error estimators in adaptive finite element approximation of such optimal control problems. 展开更多
关键词 Bilinear control problem finite element approximation SUPERCONVERGENCE Apriori error estimate A posteriori error estimator.
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一类非线性反应扩散方程组的有限元分析 被引量:8
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作者 江成顺 崔霞 《计算数学》 CSCD 北大核心 2000年第1期103-112,共10页
This paper is concerned with the finite element scheme and the alternating direction finite element scheme for some nonlinear reaction - diffusion systems with the second or the third boundary value conditions. Not on... This paper is concerned with the finite element scheme and the alternating direction finite element scheme for some nonlinear reaction - diffusion systems with the second or the third boundary value conditions. Not only the existence and uniqueness of solutions for these approximational schemes are obtained, but also the optimal H1 - norm and L2- norm error estimate results are demonstrated. 展开更多
关键词 反应扩散方程组 有限元逼近 最优误差估计
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美式债券期权定价问题的有限元方法 被引量:7
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作者 张铁 《计算数学》 CSCD 北大核心 2004年第3期277-284,共8页
The aim of this paper is to investigate the finite element methods for pricing the American put option on bonds. Based on a new variational inequality equation for the option pricing problems, both semidiscrete and fu... The aim of this paper is to investigate the finite element methods for pricing the American put option on bonds. Based on a new variational inequality equation for the option pricing problems, both semidiscrete and fully discretized finite element approximation schemes are established. It is proved that the finite element methods are stable and convergent under L2 and H^1 norms. 展开更多
关键词 有限元逼近 美式期权定价问题 变分不等式 有限元 变量代换
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SUPERCONVERGENCE ANALYSIS OF FINITE ELEMENT METHODS FOR OPTIMAL CONTROL PROBLEMS OF THE STATIONARY B(?)NARD TYPE 被引量:4
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作者 Yanzhen Chang Danping Yang 《Journal of Computational Mathematics》 SCIE EI CSCD 2008年第5期660-676,共17页
In this paper, we consider the finite element approximation of the distributed optimal control problems of the stationary Benard type under the pointwise control constraint. The states and the co-states are approximat... In this paper, we consider the finite element approximation of the distributed optimal control problems of the stationary Benard type under the pointwise control constraint. The states and the co-states are approximated by polynomial functions of lowest-order mixed finite element space or piecewise linear functions and the control is approximated by piecewise constant functions. We give the superconvergence analysis for the control; it is proved that the approximation has a second-order rate of convergence. We further give the superconvergence analysis for the states and the co-states. Then we derive error estimates in L^∞-norm and optimal error estimates in L^2-norm. 展开更多
关键词 Optimal control problem The stationary Benard problem Nonlinear coupled system finite element approximation Superconvergence.
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ADAPTIVE FINITE ELEMENT APPROXIMATION FOR A CLASS OF PARAMETER ESTIMATION PROBLEMS 被引量:2
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作者 Karl Kunisch Wenbin Liu +2 位作者 Yanzhen Chang Ningning Yan Ruo Li 《Journal of Computational Mathematics》 SCIE CSCD 2010年第5期645-675,共31页
In this paper, we study adaptive finite element discretisation schemes for a class of parameter estimation problem. We propose to efficient algorithms for the estimation problem use adaptive multi-meshes in developing... In this paper, we study adaptive finite element discretisation schemes for a class of parameter estimation problem. We propose to efficient algorithms for the estimation problem use adaptive multi-meshes in developing We derive equivalent a posteriori error estimators for both the state and the control approximation, which particularly suit an adaptive multi-mesh finite element scheme. The error estimators are then implemented and tested with promising numerical results. 展开更多
关键词 Parameter estimation finite element approximation Adaptive finite elementmethods A posteriori error estimate.
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一类扩散控制系统的数值识别与参数反演 被引量:4
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作者 江成顺 杜宁 《系统科学与数学》 CSCD 北大核心 2000年第3期338-345,共8页
考虑在化学工业中具有应用模型的一类反应扩散控制系统.此类系统带有两个未知参数,一个是未知扩散系数D=D(x);另一个是反应控制参数k(k为常数参数,例如:k为反应速度).采用有限元数值方法,给出函数参数D(x)的有限元逼近解,... 考虑在化学工业中具有应用模型的一类反应扩散控制系统.此类系统带有两个未知参数,一个是未知扩散系数D=D(x);另一个是反应控制参数k(k为常数参数,例如:k为反应速度).采用有限元数值方法,给出函数参数D(x)的有限元逼近解,将其极小化问题的有限元逼近解作为新的常数控制扩散参数,利用所给部分信息数据或可观测数据(它们是非完全信息数据),确定系统的另一未知参数k. 展开更多
关键词 反应扩散系统 扩散控制系统 数值识别 参数反演
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RECOVERY A POSTERIORI ERROR ESTIMATES FOR GENERAL CONVEX ELLIPTIC OPTIMAL CONTROL PROBLEMS SUBJECT TO POINTWISE CONTROL CONSTRAINTS 被引量:2
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作者 Yanping Chen Yao Fu +2 位作者 Huanwen Liu Yongquan Dai Huayi Wei 《Journal of Computational Mathematics》 SCIE CSCD 2009年第4期543-560,共18页
Superconvergence and recovery a posteriori error estimates of the finite element ap- proximation for general convex optimal control problems are investigated in this paper. We obtain the superconvergence properties of... Superconvergence and recovery a posteriori error estimates of the finite element ap- proximation for general convex optimal control problems are investigated in this paper. We obtain the superconvergence properties of finite element solutions, and by using the superconvergence results we get recovery a posteriori error estimates which are asymptotically exact under some regularity conditions. Some numerical examples are provided to verify the theoretical results. 展开更多
关键词 General convex optimal control problems finite element approximation Control constraints SUPERCONVERGENCE Recovery operator.
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THE APPROXIMATIONS OF THE EXACT BOUNDARY CONDITION AT AN ARTIFICIAL BOUNDARY FOR LINEARIZED INCOMPRESSIBLE VISCOUS FLOWS 被引量:2
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作者 Wei-zhu Bao (Department of Applied Mathematics, Tsinghua University, Beijing 100084, P.R. China) 《Journal of Computational Mathematics》 SCIE CSCD 1998年第3期239-256,共18页
We consider the linearized incompressible Navier-Stokes (Oseen) equations in a flat channel. A sequence of approximations to the exact boundary condition at an artificial boundary is derived. Then the original problem... We consider the linearized incompressible Navier-Stokes (Oseen) equations in a flat channel. A sequence of approximations to the exact boundary condition at an artificial boundary is derived. Then the original problem is reduced to a boundary value problem in a bounded domain, which is well-posed. A finite element approximation on the bounded domain is given, furthermore the error estimate of the finite element approximation is obtained. Numerical example shows that our artificial boundary conditions are very effective. 展开更多
关键词 Oseen equations artificial boundary artificial boundary condition finite element approximation error estimate
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一类抛物最优控制问题的有限元误差估计 被引量:3
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作者 王世杰 常延贞 《北京化工大学学报(自然科学版)》 CAS CSCD 北大核心 2018年第6期106-110,共5页
对一类抛物最优控制问题给出了有限元逼近格式,其中控制约束集为积分受限的形式K{=u (t)∈L^2(Ω):a≤∫_Ω u(t)≤}b。对问题的状态变量和伴随状态变量用线性连续函数离散,而控制变量使用分片常数近似;最后得到控制和状态变量逼近的先... 对一类抛物最优控制问题给出了有限元逼近格式,其中控制约束集为积分受限的形式K{=u (t)∈L^2(Ω):a≤∫_Ω u(t)≤}b。对问题的状态变量和伴随状态变量用线性连续函数离散,而控制变量使用分片常数近似;最后得到控制和状态变量逼近的先验误差估计O(h^2+k)。 展开更多
关键词 有限元逼近 积分受限最优控制 误差估计 抛物型方程
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一类非线性抛物最优控制问题的有限元误差估计 被引量:3
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作者 付红斐 芮洪兴 《数学物理学报(A辑)》 CSCD 北大核心 2010年第6期1542-1554,共13页
该文对一类非线性抛物最优控制问题给出了有限元逼近格式,并讨论了两种不同类型的控制约束集.文中对状态和伴随状态变量采用了线性连续函数离散,而控制变量则由分片常函数近似.得到了控制和状态逼近的先验误差估计■(h_U+h+k),这里h_U与... 该文对一类非线性抛物最优控制问题给出了有限元逼近格式,并讨论了两种不同类型的控制约束集.文中对状态和伴随状态变量采用了线性连续函数离散,而控制变量则由分片常函数近似.得到了控制和状态逼近的先验误差估计■(h_U+h+k),这里h_U与h分别表示控制和状态的空间网格步长,k表示时间步长.数值试验表明了算法的有效性. 展开更多
关键词 有限元逼近 非线性抛物最优控制 先验误差估计
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A FINITE ELEMENT APPROXIMATION FOR A 4TH ORDER VARIATIONAL INEQUALITY 被引量:1
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作者 王烈衡 《Chinese Science Bulletin》 SCIE EI CAS 1989年第24期2028-2033,共6页
I. INTRODUCTION We consider the following 4th order variational
关键词 BOUNDARY value problem finite element approximation VARIATIONAL inequality.
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Burgers方程有限元逼近的最优L^p估计及超收敛性 被引量:1
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作者 李焕荣 《首都师范大学学报(自然科学版)》 2005年第4期12-16,20,共6页
讨论了一维Burgers方程的有限元逼近,得到了广义解和有限元解之间的最优Lp(2≤p≤∞)模估计及有限元解和椭圆投影之间超收敛的W1,p(2≤p≤∞)模估计.
关键词 BURGERS方程 有限元逼近 最优误差估计 超收敛
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变分不等式有限元逼近的并行Schwarz算法 被引量:1
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作者 丁立新 《湖南大学学报(自然科学版)》 EI CAS CSCD 1996年第3期10-14,共5页
讨论了单障碍问题有限元逼近的并行Schwarz算法,建立了与吕涛的算法等价的实用算法,并证明了其收敛性,同时讨论了该算法对于贴合分量的有限步收敛性.
关键词 有限元逼近 并行 变分不等式 SCHWARZ算法
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ON THE ERROR ESTIMATE OF LINEAR FINITE ELEMENT APPROXIMATION TO THE ELASTIC CONTACT PROBLEM WITH CURVED CONTACT BOUNDARY
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作者 Lie-heng Wang (State Key Laboratory of Scientific and Engineering Computing, Institute of Computational Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences, Beijing 100080, China) 《Journal of Computational Mathematics》 SCIE EI CSCD 2000年第6期561-566,共6页
In this paper, the linear finite element approximation to the elastic contact problem with curved contact boundary is considered. The error bound O(h[sup ?]) is obtained with requirements of two times continuously dif... In this paper, the linear finite element approximation to the elastic contact problem with curved contact boundary is considered. The error bound O(h[sup ?]) is obtained with requirements of two times continuously differentiable for contact boundary and the usual regular triangulation, while I.Hlavacek et. al. Obtained the error bound O(h[sup ?]) with requirements of three times continuously differentiable for contact boundary and extra regularities of triangulation (c.f. [2]). [ABSTRACT FROM AUTHOR] 展开更多
关键词 contact problem finite element approximation
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Approximation of thermoelasticity contact problem with nonmonotone friction
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作者 Ivan ESTAK Boko S. JOVANOVI 《Applied Mathematics and Mechanics(English Edition)》 SCIE EI 2010年第1期77-86,共10页
The paper presents the formulation and approximation of a static thermoelasticity problem that describes bilateral frictional contact between a deformable body and a rigid foundation. The friction is in the form of a ... The paper presents the formulation and approximation of a static thermoelasticity problem that describes bilateral frictional contact between a deformable body and a rigid foundation. The friction is in the form of a nonmonotone and multivalued law. The coupling effect of the problem is neglected. Therefore, the thermic part of the problem is considered independently on the elasticity problem. For the displacement vector, we formulate one substationary problem for a non-convex, locally Lipschitz continuous functional representing the total potential energy of the body. All problems formulated in the paper are approximated with the finite element method. 展开更多
关键词 static thermoelastic contact nonmonotone multivalued friction hemivari-ational inequality substationary problem finite element approximation
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Stokes-Oldroyd问题的稳定化有限元方法
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作者 韩山华 潘璐 《四川大学学报(自然科学版)》 CAS CSCD 北大核心 2002年第5期830-834,共5页
对Stokes Oldroyd问题提出了一种相容稳定有限元格式 .逼近应力场、速度场和压力场的有限元空间分别取Pk 连续 ,Pk+ 1,Pk 的 。
关键词 Stokes-Oldroyd问题 粘弹性流体 稳定化有限元方法 应力场 速度场 压力场
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椭圆界面最优控制问题的有限元后验误差估计
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作者 樊孟雪 常延贞 《北京化工大学学报(自然科学版)》 CAS CSCD 北大核心 2023年第4期94-97,共4页
对一类带界面的椭圆最优控制问题给出了有限元逼近格式,其中网格剖分不需要匹配界面。对问题的状态变量和伴随变量用线性连续函数离散,控制变量采用变分离散的方法逼近,最后给出相应的后验误差。
关键词 椭圆最优控制问题 有限元逼近 匹配界面 后验误差 变分离散
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热传导方程的时间最优脉冲控制问题的有限元逼近
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作者 黄景芳 刘康生 于欣 《控制理论与应用》 EI CAS CSCD 北大核心 2022年第9期1619-1623,共5页
时间最优控制问题是一类典型的最优控制问题,受到研究者的广泛关注.脉冲控制是一种在工程控制中被广泛应用的控制方式.偏微分方程描述系统的最优控制问题的数值逼近的收敛性为数值求解方法的可行性提供了定性依据.本文研究热传导方程的... 时间最优控制问题是一类典型的最优控制问题,受到研究者的广泛关注.脉冲控制是一种在工程控制中被广泛应用的控制方式.偏微分方程描述系统的最优控制问题的数值逼近的收敛性为数值求解方法的可行性提供了定性依据.本文研究热传导方程的时间最优脉冲控制问题的有限元逼近的收敛性.通过利用投影算子的特性和系统状态的误差估计,证明了逼近问题的最优时间收敛到原问题的最优时间.由此进一步利用原问题最优控制的bangbang性证明了最优控制的收敛性. 展开更多
关键词 最优时间 脉冲 最优控制 有限元逼近 收敛性
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一类四阶微积分方程的有限元逼近
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作者 任全伟 庄清渠 《福州大学学报(自然科学版)》 CAS 北大核心 2015年第1期21-27,共7页
考虑四阶微积分吊桥模型在分段线性多项式空间上的有限元逼近.引入Newton型迭代法来处理积分项,大大提高了计算效率.给出相应的误差分析以及数值结果来说明方法可行性和有效性.
关键词 四阶微积分方程 有限元逼近 迭代算法 误差分析
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