A second order time integration method for the approximation of a parabolic 2D Monge-Ampère equation

Caboussat, Alexandre (Haute école de gestion de Genève, HES-SO // Haute Ecole Spécialisée de Suisse Occidentale) ; Gourzoulidis, Dimitrios (Haute école de gestion de Genève, HES-SO // Haute Ecole Spécialisée de Suisse Occidentale ; Ecole Polytechnique Fédérale de Lausanne, Switzerland)

Parabolic fully nonlinear equations may be found in various applications, for instance in optimal portfolio management strategy. A numerical method for the approximation of a canonical parabolic Monge-Ampère equation is investigated in this work. A second order semi-implicit time-stepping method is presented, coupled to safeguarded Newton iterations A low order finite element method is used for space discretization. Numerical experiments exhibit appropriate convergence orders and a robust behavior.


Conference Type:
published full paper
Faculty:
Economie et Services
School:
HEG - Genève
Institute:
CRAG - Centre de Recherche Appliquée en Gestion
Subject(s):
Economie/gestion
Publisher:
Egmond aan Zee, The Netherlands, 30 September - 4 October 2019
Date:
2019-09
Egmond aan Zee, The Netherlands
30 September - 4 October 2019
Pagination:
8 p.
Published in:
Proceedings of the European numerical mathematics and advanced applications conference 2019
ISBN:
978-3-030-55873-4
Appears in Collection:

Note: The file is under embargo until: 2022-03-01


 Record created 2020-12-04, last modified 2020-12-07

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)