DEVELOPMENTS IN INTEGRAL EQUATION METHODS (BOUNDARY ELEMENT METHODS)

Integral Equation Methods for Free Boundary Problems∗

We outline a unified approach for treating free boundary problems arising in Finance using integral equation methods. Starting with the PDE formulations of the free boundary problems, we show how to derive nonlinear integral equations for the free boundaries in a variety of Finance applications. Methods to treat theoretical (existence, uniqueness) questions and analytical and numerical approxim...

Developments in Boundary Element Methods for Time-dependent Problems

Finite Element Methods for Convection Diffusion Equation

This paper deals with the finite element solution of the convection diffusion equation in one and two dimensions. Two main techniques are adopted and compared. The first one includes Petrov-Galerkin based on Lagrangian tensor product elements in conjunction with streamlined upwinding. The second approach represents Bubnov/Petrov-Galerkin schemes based on a new group of exponential elements. It ...

Multistep and multistage boundary integral methods for the wave equation

We describe how time-discretized wave equation in a homogeneous medium can be solved by boundary integral methods. The time discretization can be a multistep, Runge-Kutta, or a more general multistep-multistage method. The resulting convolutional system of boundary integral equations belongs to the family of convolution quadratures of Ch. Lubich. The aim of this work is two-fold. It describes a...

Integral Equation Methods for Solving Laplace's Equation with Nonlinear Boundary Conditions: the Smooth Boundary Case

A nonlinear boundary value problem for Laplace's equation is solved numerically by using a reformulation as a nonlinear boundary integral equation. Two numerical methods are proposed and analyzed for discretizing the integral equation, both using product integration to approximate the singular integrals in the equation. The first method uses the product Simpson's rule, and the second is based o...