9 papers
Optimal bounds for POD approximations of infinite horizon control problems based on time derivatives
Javier de Frutos, Bosco Garcia-Archilla, Julia Novo
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-…
On Discrete-Time Approximations to Infinite Horizon Differential Games
Javier de Frutos, Víctor Gatón, Julia Novo
In this paper we study a discrete-time semidiscretization and a fully discretization (discrete-time, discrete-state) of an infinite time horizon noncooperative -player different…
Optimal bounds for numerical approximations of infinite horizon problems based on dynamic programming approach
Javier de Frutos, Julia Novo
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 disc…
Error Analysis of Non Inf-sup Stable Discretizations of the time-dependent Navier--Stokes Equations with Local Projection Stabilization
Javier de Frutos, Bosco García-Archilla, Volker John +1
This paper studies non inf-sup stable finite element approximations to the evolutionary Navier--Stokes equations. Several local projection stabilization (LPS) methods corresponding…
Chebyshev Reduced Basis Function applied to Option Valuation
Javier de Frutos, Victor Gaton
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…
A spectral method for an Optimal Investment problem with Transaction Costs under Potential Utility
Javier de Frutos, Victor Gaton
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…