arXiv subjects

Javier de Frutos

Publications and source records attributed to Javier de Frutos.

16 recordsLinked to original sources

arXiv2026

On Discrete-Time Approximations to Infinite Horizon Differential Games

In this paper we study a discrete-time semidiscretization and a fully discretization (discrete-time, discrete-state) of an infinite time horizon noncooperative $N$-player differential game. We prove that as either the discretization time step or both time step and mesh size parameters approach zero the discrete value function approximates the value function of the differential game. Furthermore, the discrete Nash equilibrium is an $ε$-Nash equilibrium for the continuous-time differential game both in the discrete-time and fully discrete cases.

math.OC↗

arXiv2026

Optimal bounds for numerical approximations of finite horizon problems based on dynamic programming approach

In this paper we provide optimal bounds for fully discrete approximations to finite horizon problems via dynamic programming. We adapt the error analysis in \cite{nos} for the infinite horizon case to the finite horizon case. We prove an a priori bound of size $O(h+k)$ for the method, $h$ being the time discretization step and $k$ the spatial mesh size. Arguing with piecewise constants controls we are able to obtain first order of convergence in time and space under standard regularity assumptions, avoiding the more restrictive regularity assumptions on the controls required in \cite{nos}. We show that the loss in the rate of convergence in time of the infinite case (obtained arguing with piece-wise controls) can be avoided in the finite horizon case

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arXiv2026

Optimal bounds for numerical approximations of infinite horizon problems based on dynamic programming approach

In this paper we get error bounds for fully discrete approximations of infinite horizon problems via the dynamic programming approach. It is well known that considering a time discretization with a positive step size $h$ an error bound of size $h$ can be proved for the difference between the value function (viscosity solution of the Hamilton-Jacobi-Bellman equation corresponding to the infinite horizon) and the value function of the discrete time problem. However, including also a spatial discretization based on elements of size $k$ an error bound of size $O(k/h)$ can be found in the literature for the error between the value functions of the continuous problem and the fully discrete problem. In this paper we revise the error bound of the fully discrete method and prove, under similar assumptions to those of the time discrete case, that the error of the fully discrete case is in fact $O(h+k)$ which gives first order in time and space for the method. This error bound matches the numerical experiments of many papers in the literature in which the behaviour $1/h$ from the bound $O(k/h)$ have not been observed.

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arXiv2024

Optimal bounds for POD approximations of infinite horizon control problems based on time derivatives

In this paper we consider the numerical approximation of infinite horizon problems via the dynamic programming approach. The value function of the problem solves a Hamilton-Jacobi-Bellman (HJB) equation that is approximated by a fully discrete method. It is known that the numerical problem is difficult to handle by the so called curse of dimensionality. To mitigate this issue we apply a reduction of the order by means of a new proper orthogonal decomposition (POD) method based on time derivatives. We carry out the error analysis of the method using recently proved optimal bounds for the fully discrete approximations. Moreover, the use of snapshots based on time derivatives allow us to bound some terms of the error that could not be bounded in a standard POD approach. Some numerical experiments show the good performance of the method in practice.

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arXiv2021

A pseudospectral method for Option Pricing with Transaction Costs under Exponential Utility

This paper concerns the design of a Fourier based pseudospectral numerical method for the model of European Option Pricing with transaction costs under Exponential Utility derived by Davis, Panas and Zariphopoulou. Computing the option price involves solving two stochastic optimal control problems. With a Exponential Utility function, the dimension of the problem can be reduced, but one has to deal with high absolute values in the objective function. In this paper, we propose two changes of variables that reduce the impact of the exponential growth. We propose a Fourier pseudospectral method to solve the resulting non linear equation. Numerical analysis of the stability, consistency, convergence and localization error of the method are included. Numerical experiments support the theoretical results. The effect of incorporating transaction costs is also studied.

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arXiv2019

Equilibrium strategies in a multiregional transboundary pollution differential game with spatially distributed controls

We analyze a differential game with spatially distributed controls to study a multiregional transboundary pollution problem. The dynamics of the state variable (pollution stock) is defined by a two dimensional parabolic partial differential equation. The control variables (emissions) are spatially distributed variables. The model allows for a, possibly large, number of agents with predetermined geographical relationships. For a special functional form previously used in the literature of transboundary pollution dynamic games we analytically characterize the feedback Nash equilibrium. We show that at the equilibrium both the level and the location of emissions of each region depend on the particular geographical relationship among agents. We prove that, even in a simplified model, the geographical considerations can modify the players' optimal strategies and therefore, the spatial aspects of the model should not be overlooked.

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arXiv2018

An extension of Heston's SV model to Stochastic Interest Rates

In 'A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options', Heston proposes a Stochastic Volatility (SV) model with constant interest rate and derives a semi-explicit valuation formula. Heston also describes, in general terms, how the model could be extended to incorporate Stochastic Interest Rates (SIR). This paper is devoted to the construction of an extension of Heston's SV model with a particular stochastic bond model which, just increasing in one the number of parameters, allows to incorporate SIR and to derive a semi-explicit formula for option pricing.

q-fin.CP↗

arXiv2017

Error Analysis of Non Inf-sup Stable Discretizations of the time-dependent Navier--Stokes Equations with Local Projection Stabilization

This paper studies non inf-sup stable finite element approximations to the evolutionary Navier--Stokes equations. Several local projection stabilization (LPS) methods corresponding to different stabilization terms are analyzed, thereby separately studying the effects of the different stabilization terms. Error estimates are derived in which the constants in the error bounds are independent of inverse powers of the viscosity. For one of the methods, using velocity and pressure finite elements of degree $l$, it will be proved that the velocity error in $L^\infty(0,T;L^2(Ω))$ decays with rate $l+1/2$ in the case that $ν\le h$, with $ν$ being the dimensionless viscosity and $h$ the mesh width. In the analysis of another method, it was observed that the convective term can be bounded in an optimal way with the LPS stabilization of the pressure gradient. Numerical studies confirm the analytical results.

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arXiv2017

Chebyshev Reduced Basis Function applied to Option Valuation

We present a numerical method for the frequent pricing of financial derivatives that depends on a large number of variables. The method is based on the construction of a polynomial basis to interpolate the value function of the problem by means of a hierarchical orthogonalization process that allows to reduce the number of degrees of freedom needed to have an accurate representation of the value function. In the paper we consider, as an example, a GARCH model that depends on eight parameters and show that a very large number of contracts for different maturities and asset and parameters values can be valued in a small computational time with the proposed procedure. In particular the method is applied to the problem of model calibration. The method is easily generalizable to be used with other models or problems.

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arXiv2017

Analysis of the grad-div stabilization for the time-dependent Navier-Stokes equations with inf-sup stable finite elements

This paper studies inf-sup stable finite element discretizations of the evolutionary Navier--Stokes equations with a grad-div type stabilization. The analysis covers both the case in which the solution is assumed to be smooth and consequently has to satisfy nonlocal compatibility conditions as well as the practically relevant situation in which the nonlocal compatibility conditions are not satisfied. The constants in the error bounds obtained do not depend on negative powers of the viscosity. Taking into account the loss of regularity suffered by the solution of the Navier--Stokes equations at the initial time in the absence of nonlocal compatibility conditions of the data, error bounds of order $\mathcal O(h^2)$ in space are proved. The analysis is optimal for quadratic/linear inf-sup stable pairs of finite elements. We also consider the analysis of the fully discrete case with the backward Euler method as time integrator.

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arXiv2017

Error analysis of projection methods for non inf-sup stable mixed finite elements. The Navier-Stokes equations

We obtain error bounds for a modified Chorin-Teman (Euler non-incremental) method for non inf-sup stable mixed finite elements applied to the evolutionary Navier-Stokes equations. The analysis of the classical Euler non-incremental method is obtained as a particular case. We prove that the modified Euler non-incremental scheme has an inherent stabilization that allows the use of non inf-sup stable mixed finite elements without any kind of extra added stabilization. We show that it is also true in the case of the classical Chorin-Temam method. The relation of the methods with the so called pressure stabilized Petrov Galerkin method (PSPG) is established. We do not assume non-local compatibility conditions for the solution.

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arXiv2017

Error analysis of projection methods for non inf-sup stable mixed finite elements. The transient Stokes problem

A modified Chorin-Teman (Euler non-incremental) projection method and a modified Euler incremental projection method for non inf-sup stable mixed finite elements are analyzed. The analysis of the classical Euler non-incremental and Euler incremental methods are obtained as a particular case. We first prove that the modified Euler non-incremental scheme has an inherent stabilization that allows the use of non inf-sup stable mixed finite elements without any kind of extra added stabilization. We show that it is also true in the case of the classical Chorin-Temam method. For the second scheme, we study a stabilization that allows the use of equal-order pairs of finite elements. The relation of the methods with the so called pressure stabilized Petrov Galerkin method (PSPG) is established. The influence of the chosen initial approximations in the computed approximations to the pressure is analyzed. Numerical tests confirm the theoretical results.

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arXiv2016

A spectral method for an Optimal Investment problem with Transaction Costs under Potential Utility

This paper concerns the numerical solution of the finite-horizon Optimal Investment problem with transaction costs under Potential Utility. The problem is initially posed in terms of an evolutive HJB equation with gradient constraints. In Finite-Horizon Optimal Investment with Transaction Costs: A Parabolic Double Obstacle Problem, Day-Yi, the problem is reformulated as a non-linear parabolic double obstacle problem posed in one spatial variable and defined in an unbounded domain where several explicit properties and formulas are obtained. The restatement of the problem in polar coordinates allows to pose the problem in one spatial variable in a finite domain, avoiding some of the technical difficulties of the numerical solution of the previous statement of the problem. If high precision is required, the spectral numerical method proposed becomes more efficient than simpler methods as finite differences for example.

q-fin.CP↗

arXiv2010

Static two-grid mixed finite-element approximations to the Navier-Stokes equations

A two-grid scheme based on mixed finite-element approximations to the incompressible Navier-Stokes equations is introduced and analyzed. In the first level the standard mixed finite-element approximation over a coarse mesh is computed. In the second level the approximation is postprocessed by solving a discrete Oseen-type problem on a finer mesh. The two-level method is optimal in the sense that, when a suitable value of the coarse mesh diameter is chosen, it has the rate of convergence of the standard mixed finite-element method over the fine mesh. Alternatively, it can be seen as a postprocessed method in which the rate of convergence is increased by one unit with respect to the coarse mesh. The analysis takes into account the loss of regularity at initial time of the solution of the Navier-Stokes equations in absence of nonlocal compatibility conditions. Some numerical experiments are shown.

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arXiv2010

Optimal error bounds for two-grid schemes applied to the Navier-Stokes equations

We consider two-grid mixed-finite element schemes for the spatial discretization of the incompressible Navier-Stokes equations. A standard mixed-finite element method is applied over the coarse grid to approximate the nonlinear Navier-Stokes equations while a linear evolutionary problem is solved over the fine grid. The previously computed Galerkin approximation to the velocity is used to linearize the convective term. For the analysis we take into account the lack of regularity of the solutions of the Navier-Stokes equations at the initial time in the absence of nonlocal compatibility conditions of the data. Optimal error bounds are obtained.

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arXiv2010

A posteriori error estimations for mixed finite-element approximations to the Navier-Stokes equations

A posteriori estimates for mixed finite element discretizations of the Navier-Stokes equations are derived. We show that the task of estimating the error in the evolutionary Navier-Stokes equations can be reduced to the estimation of the error in a steady Stokes problem. As a consequence, any available procedure to estimate the error in a Stokes problem can be used to estimate the error in the nonlinear evolutionary problem. A practical procedure to estimate the error based on the so-called postprocessed approximation is also considered. Both the semidiscrete (in space) and the fully discrete cases are analyzed. Some numerical experiments are provided.

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