arXiv research

Statistical finite elements use Langevin dynamics to efficiently handle uncertainty quantification.

A new method uses SPDEs to efficiently model random fields on complex domains.

StatFEM uses low-rank approximations to scale Bayesian statFEM for high-dimensional problems.

Paper solves convertible bond valuation using finite elements with penalty method.

Probabilistic SR method speeds up high-fidelity simulations with reliable uncertainty estimates.

The paper solves a complex option pricing model using finite elements.

Finite element method applied to Leland's model for option pricing with transaction costs.

New finite element method for complex forms in any dimension.

A recent paper of Arnold, Falk, and Winther [Bull AMS, 47 (2010)] showed that a large class of mixed finite element methods can be formulated naturally on Hilbert complexes, where using a Galerkin-like approach, one solves a variational problem on a finite-dimensional subcomplex. In a seemingly unrelated research direc…

The paper improves convergence rates of curvature approximations using Regge elements.

In this paper, we establish that, for statistically convex-cocompact actions, contracting elements are exponentially generic in counting measure. Among others, the following exponential genericity results are obtained as corollaries for the set of hyperbolic elements in relatively hyperbolic groups, the set of rank-1 e…

The paper analyzes finite element methods on manifolds with approximate metrics.

This article presents a finite element method (FEM) for a partial integro-differential equation (PIDE) to price two-asset options with underlying price processes modeled by an exponential Levy process. We provide a variational formulation in a weighted Sobolev space, and establish existence and uniqueness of the FEM-ba…

The paper approximates Levi-Civita connection and curvature on 2D manifolds using finite elements.

Constructs finite element spaces for $(p,q)$-forms, excluding one subspace.

EPGP surrogate outperforms finite elements in solving wave equations.

Finite element exterior calculus refers to the development of finite element methods for differential forms, generalizing several earlier finite element spaces of scalar fields and vector fields to arbitrary dimension $n$, arbitrary polynomial degree $r$, and arbitrary differential form degree $k$. The study of finite …

Study shows how numerical discretization affects reconstructions and parameter distributions in nano metrology.

In this paper, we derive an asymptotic formula for the number of conjugacy classes of elements in a class of statistically convex-cocompact actions with contracting elements. Denote by $\mathcal C(o, n)$ (resp. $\mathcal C'(o, n)$) the set of (resp. primitive) conjugacy classes of pointed length at most $n$ for a basep…

Model quantifies uncertainty's impact on European option prices.

We present a local formulation for 2D Discrete Exterior Calculus (DEC) similar to that of the Finite Element Method (FEM), which allows a natural treatment of material heterogeneity (element by element). It also allows us to deduce, in a robust manner, anisotropic fluxes and the DEC discretization of the pullback of 1-…

The estimation of probability densities based on available data is a central task in many statistical applications. Especially in the case of large ensembles with many samples or high-dimensional sample spaces, computationally efficient methods are needed. We propose a new method that is based on a decomposition of the…

Finite element method approximates scalar curvature in arbitrary dimensions.

Characterizes periodic elements in Artin-Tits groups via stability conditions.

Paper revisits Black-Scholes model, proving solution existence and measuring market uncertainty.

Two elements generate extended mapping class groups of certain surfaces.

A positive integer $m$ will be called a {\it finitistic order} for an element $γ$ of a group $Γ$ if there exist a finite group $G$ and a homomorphism $h:Γ\to G$ such that $h(γ)$ has order $m$ in $G$. It is shown that up to conjugacy, all but finitely many elements of a given finitely generated, torsion-free Kleinian gr…

We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility jump models, e.g. in Bates model. In such models the option price is determined as the solution of a partial integro-differential equation. The scheme is fourth order accurate in space and second order accurate in ti…

This paper studies the generic behavior of $k$-tuple elements for $k\ge 2$ in a proper group action with contracting elements, with applications towards relatively hyperbolic groups, CAT(0) groups and mapping class groups. For a class of statistically convex-cocompact action, we show that an exponential generic set of …

In order to generalize finite element methods to differential forms, Arnold, Falk, and Winther constructed two families of spaces of polynomial differential forms on a simplex $T$, the $\mathcal P_rΛ^k(T)$ spaces and the $\mathcal P_r^-Λ^k(T)$ spaces, where $k$ is the degree of the form and $r$ is the degree of its coe…

New method approximates anisotropic curve shortening flow.

This article reports on the confluence of two streams of research, one emanating from the fields of numerical analysis and scientific computation, the other from topology and geometry. In it we consider the numerical discretization of partial differential equations that are related to differential complexes so that de …

Study uses FEM for HJB in option pricing with borrowing fees, improving accuracy and efficiency.

Let G be a finitely generated group with a given word metric. The asymptotic density of elements in G that have a particular property P is defined to be the limit, as r goes to infinity, of the proportion of elements in the ball of radius r which have the property P. We obtain a formula to compute the asymptotic densit…

Rust library solves complex equations on abstract simplicial complexes.

If F is a surface with boundary, then a finitely generated subgroup without peripheral elements of G = π_1(F) can be separated from finitely many other elements of G by a finite index subgroup of G corresponding to a finite cover F' with the same number of boundary components as F .

We revisit the theory of Discrete Exterior Calculus (DEC) in 2D for general triangulations, relying only on Vector Calculus and Matrix Algebra. We present DEC numerical solutions of the Poisson equation and compare them against those found using the Finite Element Method with linear elements (FEML).

Finite quandles with n elements can be represented as n-by-n matrices. We show how to use these matrices to distinguish all isomorphism classes of finite quandles for a given cardinality n, as well as how to compute the automorphism group of each finite quandle. As an application, we classify finite quandles with up to…

Mixed finite element methods solve a PDE using two or more variables. The theory of Discrete Exterior Calculus explains why the degrees of freedom associated to the different variables should be stored on both primal and dual domain meshes with a discrete Hodge star used to transfer information between the meshes. We s…

Given a finite set of $r$ points in a closed surface of genus $g$, we consider the torsion elements in the mapping class group of the surface leaving the finite set invariant. We show that the torsion elements generate the mapping class group if and only if $(g, r) \neq (2, 5k+4)$ for some integer $k$.

Develops numerical methods for PDEs on hypergraphs and networks.

A new method for pricing options with stochastic volatility and jumps.

A new method splits surface flow discretizations into streamfunctions and harmonic fields.

The paper constructs discrete Hessian and divdiv complexes on triangulations and proves their cohomology isomorphic to continuous versions.

We enhance the biquandle counting invariant using elements of truncated biquandle-labeled Polyak algebras. These finite type enhancements reduce to the finite type enhancements defined by Goussarov, Polyak and Viro for the trivial biquandle of one element and determine (but are not determined by) the biquandle counting…

Infinite mixture models are commonly used for clustering. One can sample from the posterior of mixture assignments by Monte Carlo methods or find its maximum a posteriori solution by optimization. However, in some problems the posterior is diffuse and it is hard to interpret the sampled partitionings. In this paper, we…

Develops unisolvent weights for Nédélec second family finite elements in 2D.

We construct examples of finite covers of punctured surfaces where the first rational homology is not spanned by lifts of simple closed curves. More generally, for any set $\mathcal{O} \subset F_n$ which is contained in the union of finitely many $Aut(F_n)$-orbits, we construct finite-index normal subgroups of $F_n$ wh…