We study the regularity of the solution to an obstacle problem for a class of integro–differential operators. The differential part is a second order elliptic operator, whereas the nonlocal part is given by the integral fractional Laplacian. The obtained smoothness is then used to design and analyze a finite element scheme.
Keywords: Obstacle problem, free boundaries, integro–differential operators, finite elements, Dunford–Taylor integral
@article{M2AN_2020__54_1_229_0,
author = {Bonito, Andrea and Lei, Wenyu and Salgado, Abner J.},
title = {Finite element approximation of an obstacle problem for a class of integro{\textendash}differential operators},
journal = {ESAIM: Mathematical Modelling and Numerical Analysis },
pages = {229--253},
year = {2020},
publisher = {EDP Sciences},
volume = {54},
number = {1},
doi = {10.1051/m2an/2019058},
mrnumber = {4055457},
language = {en},
url = {https://www.numdam.org/articles/10.1051/m2an/2019058/}
}
TY - JOUR AU - Bonito, Andrea AU - Lei, Wenyu AU - Salgado, Abner J. TI - Finite element approximation of an obstacle problem for a class of integro–differential operators JO - ESAIM: Mathematical Modelling and Numerical Analysis PY - 2020 SP - 229 EP - 253 VL - 54 IS - 1 PB - EDP Sciences UR - https://www.numdam.org/articles/10.1051/m2an/2019058/ DO - 10.1051/m2an/2019058 LA - en ID - M2AN_2020__54_1_229_0 ER -
%0 Journal Article %A Bonito, Andrea %A Lei, Wenyu %A Salgado, Abner J. %T Finite element approximation of an obstacle problem for a class of integro–differential operators %J ESAIM: Mathematical Modelling and Numerical Analysis %D 2020 %P 229-253 %V 54 %N 1 %I EDP Sciences %U https://www.numdam.org/articles/10.1051/m2an/2019058/ %R 10.1051/m2an/2019058 %G en %F M2AN_2020__54_1_229_0
Bonito, Andrea; Lei, Wenyu; Salgado, Abner J. Finite element approximation of an obstacle problem for a class of integro–differential operators. ESAIM: Mathematical Modelling and Numerical Analysis , Tome 54 (2020) no. 1, pp. 229-253. doi: 10.1051/m2an/2019058
and , A fractional Laplace equation: regularity of solutions and finite element approximations. SIAM J. Numer. Anal. 55 (2017) 472–495. | MR | DOI
, and , A short FE implementation for a 2D homogeneous Dirichlet problem of a fractional Laplacian. Comput. Math. Appl. 74 (2017) 784–816. | MR | Zbl | DOI
, , , , , , , , , , , , , and , The deal.II library, version 9.0. J. Numer. Math. 26 (2018) 173–183. | MR | DOI
, , , , , The solution of the Kato square root problem for second order elliptic operators on . Ann. Math. 156 (2002) 633–654. | MR | Zbl | DOI
, Numerical methods for nonlinear partial differential equations. In: Vol. 47 of Springer Series in Computational Mathematics. Springer, Cham (2015). | MR | Zbl | DOI
and , Numerical approximation of fractional powers of elliptic operators. Math. Comp. 84 (2015) 2083–2110. | MR | DOI
and , Numerical approximation of fractional powers of regularly accretive operators. IMA J. Numer. Anal. 37 (2017) 1245–1273. | MR | Zbl | DOI
, , , and , Numerical methods for fractional diffusion. Comput. Vis. Sci. 19 (2018) 19–46. | MR | DOI
, and , Numerical approximation of the integral fractional Laplacian. Numer. Math. 142 (2019) 235–278. | MR | DOI
, and , On sinc quadrature approximations of fractional powers of regularly accretive operators. J. Numer. Math. 27 (2017). | MR | Zbl
, and , , Weighted Sobolev regularity and rate of approximation of the obstacle problem for the integral fractional Laplacian. Preprint: arXiv:1806.08048 (2018). | MR
and , Perpetual American options under Lévy processes. SIAM J. Control Optim. 40 (2002) 1663–1696. | MR | Zbl | DOI
, and , Computational scales of Sobolev norms with application to preconditioning. Math. Comp. 69 (2000) 463–480. | MR | Zbl | DOI
and , The valuation of American options on multiple assets. Math. Finance 7 (1997) 241–286. | MR | Zbl | DOI
and , Regularity analyses and approximation of nonlocal variational equality and inequality problems. J. Math. Anal. Appl. 478 (2019) 1027–1048. | MR | DOI
, and , Interpolation of Hilbert and Sobolev spaces: quantitative estimates and counterexamples. Mathematika 61 (2015) 414–443. | MR | DOI
and , Residual type a posteriori error estimates for elliptic obstacle problems. Numer. Math. 84 (2000) 527–548. | MR | Zbl | DOI
, The finite element method for elliptic problems. In: Vol. 40 of Classics in Applied Mathematics. Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA (2002). | MR | Zbl
, Regularity and Singularities in Polyhedral Domains. Available on: https://perso.univ-rennes1.fr/monique.dauge/publis/Talk_Karlsruhe08.pdf (2008).
and , The fractional Laplacian operator on bounded domains as a special case of the nonlocal diffusion operator. Comput. Math. Appl. 66 (2013) 1245–1260. | MR | DOI
and , Theory and practice of finite elements. In: Vol. 159 of Applied Mathematical Sciences. Springer-Verlag, New York (2004). | MR | Zbl | DOI
, Variational Principles and Free-boundary Problems, edited by, 2nd edition, Publishing Co., Inc, Malabar, FL, 1988. | MR
, Fractional Laplacians on domains, a development of Hörmander’s theory of μ-transmission pseudodifferential operators. Adv. Math. 268 (2015) 478–528. | MR | Zbl | DOI
and , An introduction to variational inequalities and their applications, In: Vol. 31 of Classics in Applied Mathematics. Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA (2000). | MR | Zbl
and , Sinc Methods for Quadrature and Differential Equations, Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA (1992) | MR | Zbl | DOI
, and , Fast deterministic pricing of options on Lévy driven assets. ESAIM: M2AN 38 (2004) 37–71. | MR | Zbl | Numdam | DOI
, and , Variational inequalities for the fractional Laplacian. Potential Anal. 46 (2017) 485–498. | MR | DOI
, Obstacle problems in mathematical physics, 114, Notas de Matemática [Mathematical Notes]. In: Vol. 134 ofNorth-Holland Mathematics Studies, North-Holland Publishing Co., Amsterdam (1987). | Zbl | MR
and , The extremal solution for the fractional Laplacian. Calc. Var. Part. Differ. Equ. 50 (2014) 723–750. | MR | Zbl | DOI
, Théorie des distributions. Publications de l’Institut de Mathématique de l’Université de Strasbourg, No. IX-X. Nouvelle édition, entiérement corrigée, refondue et augmentée, Hermann, Paris (1966). | MR | Zbl
and , Finite element interpolation of nonsmooth functions satisfying boundary conditions. Math. Comp. 54 (1990) 483–493. | MR | Zbl | DOI
and , Lewy-Stampacchia type estimates for variational inequalities driven by (non)local operators. Rev. Mat. Iberoam. 29 (2013) 1091–1126. | MR | Zbl | DOI
, Pseudodifferential operators, In: Vol. 34 of Princeton Mathematical Series Princeton University Press, Princeton, NJ (1981). | MR | Zbl
and , Elliptic Convolution Equations in a Bounded Region and their Applications. Vol. 22 Uspehi Mat. Nauk (1967) 15–76. | MR
, Methods of the theory of generalized functions, In: Vol. 6 of Analytical Methods and Special Functions. Taylor & Francis, London (2002). | Zbl | MR
, Numerical Approximation of time Dependent Fractional Diffusion with Drift: Applications to Surface Quasi-Geostrophic Dynamics and Electroconvection. Ph.D. thesis, A&M University, Texas (2019). | MR
, Theory of Multilevel Methods. Ph.D. thesis, Cornell University, Ithaca, NY (1989). | MR
Cité par Sources :





