Results 51 to 60 of about 155 (148)

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
core  

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
doaj   +1 more source

Observability inequality for the spatial discretization of weakly coupled 2d-wave equations

Demonstratio Mathematica
This study addresses the problem of indirect boundary observability for a spatial semi-discretization of weakly coupled two-dimensional wave equations. The discretization is performed using a finite difference method on a uniform mesh. More specifically,
Beljadid Lahcen, Belkanoufi Radoine, Elayboudi Abderrahim   +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 Physics
Invariant 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
doaj   +1 more source

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, Endal Jørgen, Vázquez Juan Luis   +2 more
doaj   +1 more source

3D curve regularization

, 2022
In this paper, we study the regularization of 3D curves connecting two points. We propose an energy-based formulation which is an extension to 3D of the geodesic active contours introduced in 2D by Caselles et al. in 1997.
Alvarez, Luis, Luis Alvarez
core   +1 more source

Nonlinear heat-wave propagation in rigid thermal conductors via a distributed-order Caputo fractional model

Nonlinear Engineering
In this paper, a distributed–order Caputo fractional derivative is used to represent nonlinear heat wave propagation in rigid thermal conductors using a novel numerical approach. The suggested model takes into consideration memory effects that are a part
Sweilam Nasser H., El Din N. Bahaa, Alsheri Ahuod S., Ammar Medhat K., Abo-Eldahab Emad M.   +4 more
doaj   +1 more source

Uniform difference method for singularly pertubated delay Sobolev problems

, 2021
In this paper, a numerical study is made of an initial-boundary value problem for a singularly perturbed delay Sobolev equations (SPDSEs). Here we propose an exponentially fitted method based on finite differences to solve an SPDSE.
Durus, Hakki, Chiyanesh, Akbar Barati
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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

Error Analysis of Numerical Schemes for the Wave Equation in Heterogeneous Media

, 1993
A family of finite difference schemes for the acoustic wave equation in heterogeneous media is introduced. The precision and computational cost are analyzed in two cases. First, a two layered medium is considered.
William Symes, Alain Sei, W. W Symes
core   +1 more source