A parametric model order reduction (MOR) approach for simulating high-dimensional models arising in financial risk analysis is proposed on the basis of proper orthogonal decomposition (POD) to generate small approximations convection-diffusion reaction partial differential equations (PDE). The technique uses an adaptive greedy sampling based surrogate modeling efficiently locate most relevant t...

We introduce and analyze a new finite-difference scheme, relying on the theta-method, for solving monotone second-order mean field games. These games consist of coupled system Fokker–Planck Hamilton–Jacobi–Bellman equation. The theta-method is used discretizing diffusion terms: we approximate them with convex combination an implicit explicit term. On contrast, use centered scheme first-order te...

We derive novel error estimates for Hybrid High-Order (HHO) discretizations of Leray-Lions problems set in W^(1,p) with p (1,2]. Specifically, we prove that, depending on the degeneracy problem, convergence rate may vary between (k+1)(p-1) and (k+1), k denoting degree HHO approximation. These regime-dependent are illustrated by a complete panel numerical experiments.