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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Well-posedness and maximum principles for lattice reaction-diffusion equations
Advances in Nonlinear Analysis, 2017 Existence, uniqueness and continuous dependence results together with maximum principles represent key tools in the analysis of lattice reaction-diffusion equations.
Slavík Antonín +2 more
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Numerical Solution of Stochastic Partial Differential Equations with Correlated Noise [PDF]
, 2013 In this paper we investigate the numerical solution of stochastic partial differential equations (SPDEs) for a wider class of stochastic equations. We focus on non-diagonal colored noise instead of the usual space-time white noise. By applying a spectral
Blömker, Dirk, Kamrani, Minoo
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Optimal convergence rates for the three-dimensional turbulent flow equations [PDF]
, 2012 In this paper we are concerned with the convergence rate of solutions to the three-dimensional turbulent flow equations. By combining the $L^p$-$L^q$ estimates for the linearized equations and an elaborate energy method, the convergence rates are ...
Bian, Dongfen, Guo, Boling
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Convolution Quadrature Methods for Time-Space Fractional Nonlinear Diffusion-Wave Equations
East Asian Journal on Applied Mathematics, 2019 Two second-order convolution quadrature methods for fractional nonlinear diffusion-wave equations with Caputo derivative in time and Riesz derivative in space are constructed.
Jianfei Huang +3 more
semanticscholar +1 more source
Analysis of higher order difference method for a pseudo-parabolic equation with delay
Miskolc Mathematical Notes, 2019 In this paper, the author considers the one dimensional initial-boundary problem for a pseudo-parabolic equation with time delay in second spatial derivative.
I. Amirali
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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
East Asian Journal on Applied Mathematics, 2018 A conservative finite difference scheme for nonlinear space fractional KleinGordon-Schrödinger systems with high-degree Yukawa interaction is studied. We show that the arising difference equations are uniquely solvable and approximate solutions converge ...
Junjie Wang, A. Xiao, Chenxi Wang
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A tension spline fitted numerical scheme for singularly perturbed reaction-diffusion problem with negative shift. [PDF]
BMC Res Notes, 2023 Ejere AH +3 more
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A comparative study of the efficiency of jet schemes
, 2012 We present two versions of third order accurate jet schemes, which achieve high order accuracy by tracking derivative information of the solution along characteristic curves.
Chidyagwai, Prince +3 more
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