Approximation of the marginal distribution of the solution of the stochastic Navier-Stokes equations on the two-dimensional torus by high order numerical methods is considered. The corresponding rates of convergence are obtained for a splitting scheme and the method of cubature on Wiener space applied to a spectral Galerkin discretisation of degree N . While the estimates exhibit a strong N dependence, convergence is obtained for appropriately chosen time step sizes. Results of numerical simulations are provided, and confirm the applicability of the methods.
We introduce efficient numerical methods for generic HJM equations of interest rate theory by means of high-order weak approximation schemes. These schemes allow for QMC implementations due to the relatively low dimensional integration space. The complexity of the resulting algorithm is considerably lower than the complexity of multi-level MC algorithms as long as the optimal order of QMC-convergence is guaranteed. In order to make the methods applicable to real world problems, we introduce and use the setting of weighted function spaces, such that unbounded payoffs and unbounded characteristics of the equations in question are still allowed. We also provide an implementation, where we efficiently calibrate an HJM equation to caplet data.
Abstract.
We consider the extension of the p-robust equilibrated error estimator due to Braess, Pillwein and Schöberl to linear elasticity.
We derive a formulation where the local mixed auxiliary problems do not require symmetry of the stresses.
The resulting error estimator is p-robust, and the reliability estimate is also robust in the incompressible limit if quadratics are included in the approximation space.
Extensions to other systems of linear second-order partial differential equations are discussed.
Numerical simulations show only moderate deterioration of the effectivity index for a Poisson ratio close to .
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