Advection-diffusion;
Variational inequalities;
Characteristics;
Mixed finite elements;
Active set strategy;
PRICING AMERICAN OPTIONS;
NUMERICAL-METHODS;
ALGORITHM;
STABILITY;
SCHEME;
D O I:
10.1016/j.matcom.2022.08.006
中图分类号:
TP39 [计算机的应用];
学科分类号:
081203 ;
0835 ;
摘要:
We present a computational methodology for solving advection-diffusion variational inequalities. Our method is based on a Lagrange-Galerkin technique which combines a discretization of the material derivative along particle trajectories with a mixed finite element method. An efficient primal-dual active-set algorithm is designed to solve the resulting saddle point complementarity system. The overall approach applies to both advection and diffusion-dominated problems, and its performance is demonstrated on numerical examples with known analytical solutions and a benchmark from the literature. (c) 2022 International Association for Mathematics and Computers in Simulation (IMACS). Published by Elsevier B.V. All rights reserved.
机构:
Chinese Acad Sci, Acad Math & Syst Sci, Inst Math, Beijing 100080, Peoples R ChinaChinese Acad Sci, Acad Math & Syst Sci, Inst Math, Beijing 100080, Peoples R China