Low Volatility Options and Numerical Diffusion of Finite Difference Schemes [PDF]
, 2010 2000 Mathematics Subject Classification: 65M06, 65M12.In this paper we explore the numerical diffusion introduced by two nonstandard finite difference schemes applied to the Black-Scholes partial differential equation for pricing discontinuous payoff and
Milev, Mariyan, Tagliani, Aldo
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Accurate gradient computations at interfaces using finite element methods
, 2017 New finite element methods are proposed for elliptic interface problems in one and two dimensions. The main motivation is not only to get an accurate solution but also an accurate first order derivative at the interface (from each side). The key in 1D is
Li, Zhilin +3 more
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LDG schemes with second order implicit time discretization for a fractional sub-diffusion equation
Results in Applied Mathematics, 2019 In this paper, we propose new local discontinuous Galerkin (LDG) schemes for solving a time fractional sub-diffusion equation. The new LDG schemes is constructed rely on the splitting of time fractional derivative and space derivative.
Can Li, Xiaorui Sun, Fengqun Zhao
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On the Two-phase Fractional Stefan Problem
Advanced Nonlinear Studies, 2020 The classical Stefan problem is one of the most studied free boundary problems of evolution type. Recently, there has been interest in treating the corresponding free boundary problem with nonlocal diffusion.
del Teso Félix +2 more
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Invariant conservative finite-difference schemes for the one-dimensional shallow water magnetohydrodynamics equations in Lagrangian coordinates [PDF]
Open Communications in Nonlinear Mathematical PhysicsInvariant finite-difference schemes for the one-dimensional shallow water equations in the presence of a magnetic field for various bottom topographies are constructed. Based on the results of the group classification recently carried out by the authors,
E. I. Kaptsov, V. A. Dorodnitsyn
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Behavior of different numerical schemes for population genetic drift problems [PDF]
, 2016 In this paper, we focus on numerical methods for the genetic drift problems, which is governed by a degenerated convection-dominated parabolic equation.
Chen, Minxin +4 more
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Improving approximate matrix factorizations for implicit time integration in air pollution modelling [PDF]
, 2000 For a long time operator splitting was the only computationally feasible way of implicit time integration in large scale Air Pollution Models. A recently proposed attractive alternative is Rosenbrock schemes combined with Approximate Matrix Factorization
Botchev, M.A., Verwer, J.G.
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Tellus: Series A, Dynamic Meteorology and Oceanography, 2018 This article proposes a new grid system for the sphere, which consists of three orthogonal and almost uniform grids. The basic one is a latitude-longitude grid covering an annular band around the equator.
Göran Starius
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Frontiers in Applied Mathematics and StatisticsThis study aims to address the difficulties in solving coupled generalized non-linear Burger equations using local fractional calculus as a framework. The methodology used in this work, particularly in the area of local fractional calculus, combines the ...
Ghaliah Alhamzi +3 more
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Uniformly convergent extended cubic B-spline collocation method for two parameters singularly perturbed time-delayed convection-diffusion problems. [PDF]
BMC Res Notes, 2023 Negero NT.
europepmc +1 more source