arXiv subjects

Pratik Rai

Publications and source records attributed to Pratik Rai.

3 recordsLinked to original sources

arXiv2025

Frictional martingale optimal transport and robust hedging

We study the martingale optimal transport problem with state-dependent trading frictions and develop a geometric and duality framework extending from the one time-step to the multi-marginal setting. Building on the left-monotone structure of frictionless MOT (Beiglböck and Juillet, Ann. Probab., 2016; Henry-Labordère and Touzi, Finance Stoch., 2016; Beiglböck et al., Ann. Probab., 2017), we introduce a convex frictional cost combining proportional bid-ask spreads and quadratic liquidity impacts. The framework extends the martingale Spence-Mirrlees condition to nonlinear frictions and establishes a frictional monotonicity principle. At each time step, the joint distribution between consecutive asset prices exhibits a bi-atomic, monotone geometry: conditional on the current price, the next price lies on one of two monotone branches representing upward and downward rebalancing. A no-transaction region, or trade band, arises where maintaining the position is optimal, while outside the band, transitions follow two monotone graphs whose endpoints satisfy an equal-slope condition balancing continuation value and marginal trading cost. The framework extends dynamically via a recursive identity, ensuring stability and convergence to the frictionless left-curtain limit, and applies to model-independent pricing and robust hedging of path-dependent derivatives.

math.OC↗

arXiv2022

A discontinuous Galerkin spectral element method for a nonconservative compressible multicomponent flow model

In this work, we propose an accurate, robust, and stable discretization of the gamma-based compressible multicomponent model by Shyue [J. Comput. Phys., 142 (1998), 208-242] where each component follows a stiffened gas equation of state (EOS). We here extend the framework proposed in Renac [J. Comput. Phys. 382 (2019), 1-26] and Coquel et al. [J. Comput. Phys. 431 (2021) 110135] for the discretization of hyperbolic systems, with both fluxes and nonconservative products, to unstructured meshes with curved elements in multiple space dimensions. The framework relies on the discontinuous Galerkin spectral element method (DGSEM) using collocation of quadrature and interpolation points. We modify the integrals over discretization elements where we replace the physical fluxes and nonconservative products by two-point numerical fluctuations. The contributions of this work are threefold. First, we analyze the semi-discrete DGSEM discretization and prove that the scheme is high-order accurate, free-stream preserving, and entropy stable when excluding material interfaces. Second, we design a three-point scheme with a HLLC solver that does not require a root-finding algorithm for approximating the nonconservative products. The scheme is proved to be robust and entropy stable for convex entropies, preserves uniform states across material interfaces, satisfies a discrete minimum principle on the specific entropy and maximum principles on the EOS parameters. Third, the HLLC solver is applied at interfaces in the DGSEM scheme, while we consider two kinds of fluctuations in the integrals over discretization elements: material interface preserving and entropy conservative. Time integration is performed using SSP Runge-Kutta schemes. The high-order accuracy, nonlinear stability, and robustness of the present scheme are assessed through several numerical experiments in one and two space dimensions.

math.NA↗

arXiv2020

An entropy stable high-order discontinuous Galerkin spectral element method for the Baer-Nunziato two-phase flow model

In this work we propose a high-order discretization of the Baer-Nunziato two-phase flow model (Baer and Nunziato, Int. J. Multiphase Flow, 12 (1986), pp. 861-889) with closures for interface velocity and pressure adapted to the treatment of discontinuous solutions, and stiffened gas equations of states. We use the discontinuous Galerkin spectral element method (DGSEM), based on collocation of quadrature and interpolation points (Kopriva and Gassner, J. Sci. Comput., 44 (2010), pp. 136-155). The DGSEM uses summation-by-parts (SBP) operators in the numerical quadrature for approximating the integrals over discretization elements (Carpenter et al., SIAM J. Sci. Comput., 36 (2014), pp. B835-B867; Gassner et al., J. Comput. Phys., 327 (2016), pp. 39-66). Here, we build upon the framework provided in (F. Renac, J. Comput. Phys., 382 (2019), pp. 1-36) for nonconservative hyperbolic systems to modify the integration over cell elements using the SBP operators and replace the physical fluxes with entropy conservative fluctuation fluxes from Castro et al. (SIAM J. Numer. Anal., 51 (2013), pp. 1371-1391), while we derive entropy stable fluxes applied at interfaces. This allows to establish a semi-discrete inequality for the cell-averaged physical entropy, while being high-order accurate. The design of the numerical fluxes also formally preserves the kinetic energy at the semi-discrete level. High-order integration in time is performed using strong stability-preserving Runge-Kutta schemes and we propose conditions on the numerical parameters for the positivity of the cell-averaged void fraction and partial densities. The positivity of the cell-averaged solution is extended to nodal values by the use of an a posteriori limiter. The high-order accuracy, nonlinear stability, and robustness of the present scheme are assessed through several numerical experiments in one and two space dimensions.

math.NA↗