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A posteriori error analysis for FEM of American options
1. | Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton AB, Canada T6G 2G1, Canada |
2. | Academy of Mathematics and System Sciences, Chinese Academy of Sciences, Beijing(100080), China |
[1] |
Hatim Tayeq, Amal Bergam, Anouar El Harrak, Kenza Khomsi. Self-adaptive algorithm based on a posteriori analysis of the error applied to air quality forecasting using the finite volume method. Discrete and Continuous Dynamical Systems - S, 2021, 14 (7) : 2557-2570. doi: 10.3934/dcdss.2020400 |
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Hsueh-Chen Lee, Hyesuk Lee. An a posteriori error estimator based on least-squares finite element solutions for viscoelastic fluid flows. Electronic Research Archive, 2021, 29 (4) : 2755-2770. doi: 10.3934/era.2021012 |
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Lijuan Wang, Jun Zou. Error estimates of finite element methods for parameter identifications in elliptic and parabolic systems. Discrete and Continuous Dynamical Systems - B, 2010, 14 (4) : 1641-1670. doi: 10.3934/dcdsb.2010.14.1641 |
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Dongho Kim, Eun-Jae Park. Adaptive Crank-Nicolson methods with dynamic finite-element spaces for parabolic problems. Discrete and Continuous Dynamical Systems - B, 2008, 10 (4) : 873-886. doi: 10.3934/dcdsb.2008.10.873 |
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Tao Lin, Yanping Lin, Weiwei Sun. Error estimation of a class of quadratic immersed finite element methods for elliptic interface problems. Discrete and Continuous Dynamical Systems - B, 2007, 7 (4) : 807-823. doi: 10.3934/dcdsb.2007.7.807 |
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Norikazu Saito. Error analysis of a conservative finite-element approximation for the Keller-Segel system of chemotaxis. Communications on Pure and Applied Analysis, 2012, 11 (1) : 339-364. doi: 10.3934/cpaa.2012.11.339 |
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Na Peng, Jiayu Han, Jing An. An efficient finite element method and error analysis for fourth order problems in a spherical domain. Discrete and Continuous Dynamical Systems - B, 2022 doi: 10.3934/dcdsb.2022021 |
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M. González, J. Jansson, S. Korotov. A posteriori error analysis of a stabilized mixed FEM for convection-diffusion problems. Conference Publications, 2015, 2015 (special) : 525-532. doi: 10.3934/proc.2015.0525 |
[9] |
Philip Trautmann, Boris Vexler, Alexander Zlotnik. Finite element error analysis for measure-valued optimal control problems governed by a 1D wave equation with variable coefficients. Mathematical Control and Related Fields, 2018, 8 (2) : 411-449. doi: 10.3934/mcrf.2018017 |
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Hao Wang, Wei Yang, Yunqing Huang. An adaptive edge finite element method for the Maxwell's equations in metamaterials. Electronic Research Archive, 2020, 28 (2) : 961-976. doi: 10.3934/era.2020051 |
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Jie Shen, Xiaofeng Yang. Error estimates for finite element approximations of consistent splitting schemes for incompressible flows. Discrete and Continuous Dynamical Systems - B, 2007, 8 (3) : 663-676. doi: 10.3934/dcdsb.2007.8.663 |
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Anouar El Harrak, Hatim Tayeq, Amal Bergam. A posteriori error estimates for a finite volume scheme applied to a nonlinear reaction-diffusion equation in population dynamics. Discrete and Continuous Dynamical Systems - S, 2021, 14 (7) : 2183-2197. doi: 10.3934/dcdss.2021062 |
[13] |
Xinfu Chen, Huibin Cheng. Regularity of the free boundary for the American put option. Discrete and Continuous Dynamical Systems - B, 2012, 17 (6) : 1751-1759. doi: 10.3934/dcdsb.2012.17.1751 |
[14] |
Junkee Jeon, Jehan Oh. Valuation of American strangle option: Variational inequality approach. Discrete and Continuous Dynamical Systems - B, 2019, 24 (2) : 755-781. doi: 10.3934/dcdsb.2018206 |
[15] |
Georg Vossen, Stefan Volkwein. Model reduction techniques with a-posteriori error analysis for linear-quadratic optimal control problems. Numerical Algebra, Control and Optimization, 2012, 2 (3) : 465-485. doi: 10.3934/naco.2012.2.465 |
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Quyen Tran, Harbir Antil, Hugo Díaz. Optimal control of parameterized stationary Maxwell's system: Reduced basis, convergence analysis, and a posteriori error estimates. Mathematical Control and Related Fields, 2022 doi: 10.3934/mcrf.2022003 |
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Wolf-Jüergen Beyn, Janosch Rieger. Galerkin finite element methods for semilinear elliptic differential inclusions. Discrete and Continuous Dynamical Systems - B, 2013, 18 (2) : 295-312. doi: 10.3934/dcdsb.2013.18.295 |
[18] |
Chunjuan Hou, Yanping Chen, Zuliang Lu. Superconvergence property of finite element methods for parabolic optimal control problems. Journal of Industrial and Management Optimization, 2011, 7 (4) : 927-945. doi: 10.3934/jimo.2011.7.927 |
[19] |
Xiaomeng Li, Qiang Xu, Ailing Zhu. Weak Galerkin mixed finite element methods for parabolic equations with memory. Discrete and Continuous Dynamical Systems - S, 2019, 12 (3) : 513-531. doi: 10.3934/dcdss.2019034 |
[20] |
Qun Lin, Hehu Xie. Recent results on lower bounds of eigenvalue problems by nonconforming finite element methods. Inverse Problems and Imaging, 2013, 7 (3) : 795-811. doi: 10.3934/ipi.2013.7.795 |
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