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Quantitative Analysis
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Numerical Analysis
C++ Multithreading
Python for Excel
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I. Basic math.
II. Pricing and Hedging.
III. Explicit techniques.
IV. Data Analysis.
V. Implementation tools.
VI. Basic Math II.
VII. Implementation tools II.
1. Calculational Linear Algebra.
2. Wavelet Analysis.
3. Finite element method.
A. Tutorial introduction into finite element method.
a. Variational formulation, essential and natural boundary conditions.
b. Ritz-Galerkin approximation.
c. Convergence of approximate solution. Energy norm argument.
d. Approximation in L2 norm. Duality argument.
e. Example of finite dimensional subspace construction.
f. Adaptive approximation.
B. Finite elements for Poisson equation with Dirichlet boundary conditions.
C. Finite elements for Heat equation with Dirichlet boundary conditions.
D. Finite elements for Heat equation with Neumann boundary conditions.
E. Relaxed boundary conditions for approximation spaces.
F. Convergence of finite elements applied to nonsmooth data.
G. Convergence of finite elements for generic parabolic operator.
4. Construction of approximation spaces.
5. Time discretization.
6. Variational inequalities.
VIII. Bibliography
Notation. Index. Contents.

Convergence of approximate solution. Energy norm argument.


et $u$ be the solution of the problem ( Variational toy problem ) and $u_{n}$ be the solution of the problem ( Approximate toy problem ). We seek conditions for the convergence $u_{n}\rightarrow u$ as $n\rightarrow\infty$ .

We introduce the norm MATH By definition of $B$ and the formula ( Holder inequality ) we have MATH We estimate MATH Let $v\in X^{n}$ . MATH Note that $v-u_{n}\in X^{n}$ and, by subtracting the problems ( Variational toy problem ) and ( Approximate toy problem ), $u,u_{n}$ satisfy MATH . Hence, we continue MATH Thus, MATH or MATH for any $v\in X^{n}$ .

Proposition

(Toy approximation in energy norm) Let $u$ be the solution of the problem ( Variational toy problem ) and $u_{n}$ be the solution of the problem ( Approximate toy problem ). We have MATH





Notation. Index. Contents.


















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