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Mixed hp-DGFEM for incompressible flows III: Pressure stabilization
(2002)SAM Research ReportWe consider stabilized mixed hp-discontinuous Galerkin methods for the discretization of the Stokes problem in three-dimensional polyhedral domains. The methods are stabilized with a term penalizing the pressure jumps. For this approach it is shown that IQk-IQk and IQk-IQk-1 elements satisfy a generalized inf-sup condition on geometric edge and boundary layer meshes that are refined anisotropically and non quasi-uniformly towards faces, ...Report -
Mixed hp-DGFEM for incompressible flows II: Geometric edge meshes
(2002)SAM Research ReportWe consider the Stokes problem in three-dimensional polyhedral domains discretized on hexahedral meshes with hp-discontinuous Galerkin finite elements of type IQk for the velocity and IQk-1 for the pressure. We prove that these elements are inf-sup stable on geometric edge meshes that are refined anisotropically and non quasi-uniformly towards edges and corners. The discrete inf-sup constant is shown to be independent of the aspect ratio ...Report -
Sparse p-version BEM for first kind boundary integral equations with random loading
(2008)Research ReportReport -
On Kolmogorov equations for anisotropic multivariate Lévy processes
(2008)Research reportsFor d-dimensional exponential L´evy models, variational formulations of the Kolmogorov equations arising in asset pricing are derived. Well-posedness of these equations is verified. Particular attention is paid to pure jump, d-variate L´evy processes built from parametric, copula dependence models in their jump structure. The domains of the associated Dirichlet forms are shown to be certain anisotropic Sobolev spaces. Representations of ...Report -
Exponential convergence of $hp$ quadrature for integral operators with Gevrey kernels
(2009)SAM Research ReportGalerkin discretizations of integral equations in $\mathbb{R}^d$ require the evaluation of integrals $ I = \int_{S^{{(1)}}}$ $ \int_{S^{{(2)}}}$ $g(x,y)dydx$ where $S^{{(1)}}$, $S^{{(2)}}$ are $d$-simplices and $g$ has a singularity at $x=y$. We assume that g is Gevrey smooth for $x \neq y$ and satisfies bounds for the derivatives which allow algebraic singularities at $x = y$. This holds for kernel functions commonly occuring in integral ...Report -
Sparse high order FEM for elliptic sPDEs
(2008)Research ReportWe describe the analysis and the implementation of two Finite Element (FE) algorithms for the deterministic numerical solution of elliptic boundary value problems with stochastic coefficients. They are based on separation of deterministic and stochastic parts of the input data by a Karhunen-Lo`eve expansion, truncated after M terms. With a change of measure we convert the problem to a sequence of M-dimensional, parametric ...Report