Implicit vs explicit schemes for non-linear PDEs and illustrations in Finance and optimal control.

Implicit vs explicit schemes for non-linear PDEs and illustrations in Finance and optimal control.

Fri, 17/02/2012
14:15 		Olivier Bokanowski (UMA) Nomura Seminar Add to calendar DH 1st floor SR
Implicit vs explicit schemes for non-linear PDEs and illustrations in Finance and optimal control.
We will first motivate and review some implicit schemes that arises from the discretization of non linear PDEs in finance or in optimal control problems - when using finite differences methods or finite element methods. For the american option problem, we are led to compute the solution of a discrete obstacle problem, and will give some results for the convergence of nonsmooth Newton's method for solving such problems. Implicit schemes are interesting for their stability properties, however they can be too costly in practice. We will then present some novel schemes and ideas, based on the semi-lagrangian approach and on discontinuous galerkin methods, trying to be as much explicit as possible in order to gain practical efficiency.