Novel 3D coupled convection–diffusion model algorithm
AIP Advances, 2022 The potential of a partial differential equations model is to anticipate its computational behavior. The simulation of a transient 3D coupled convection–diffusion system using a numerical model is described. The main objective of this article is to offer
Muhammad Saqib +5 more
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High-order Compact Difference Schemes for the Modified Anomalous Subdiffusion Equation [PDF]
, 2015 In this paper, two kinds of high-order compact finite difference schemes for second-order derivative are developed. Then a second-order numerical scheme for Riemann-Liouvile derivative is established based on fractional center difference operator.
Ding, Hengfei, Li, Changpin
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Advances in Difference Equations, 2020 In this paper, a stochastic space fractional advection diffusion equation of Itô type with one-dimensional white noise process is presented. The fractional derivative is defined in the sense of Caputo.
N. H. Sweilam +2 more
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Efficient hedging in Bates model using high-order compact finite differences [PDF]
, 2017 We evaluate the hedging performance of the scheme developed in B. Düring, A. Pitkin, ”High-order compact finite difference scheme for option pricing in stochastic volatility jump models”, 2017.
B Düring, DS Bates, S Salmi
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Invariant compact finite difference schemes
, 2019 In this paper, we propose a method, that is based on equivariant moving frames, for development of high order accurate invariant compact finite difference schemes that preserve Lie symmetries of underlying partial differential equations. In this method, variable transformations that are obtained from the extended symmetry groups of PDEs are used to ...
Ozbenli, Ersin, Vedula, Prakash
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High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids [PDF]
, 2014 We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order accurate in space and second-order accurate in time for vanishing correlation.
Benhamou +25 more
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Compact finite difference method for American option pricing
Journal of Computational and Applied Mathematics, 2007 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhao, Jichao +2 more
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On Secrecy Rate Analysis of MIMO Wiretap Channels Driven by Finite-Alphabet Input [PDF]
, 2012 This work investigates the effect of finite-alphabet source input on the secrecy rate of a multi-antenna wiretap system. Existing works have characterized maximum achievable secrecy rate or secrecy capacity for single and multiple antenna systems based ...
Bashar, Shafi +2 more
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Accurate Simulation of Contaminant Transport Using High-Order Compact Finite Difference Schemes
Journal of Applied Mathematics, 2014 Numerical simulation of advective-dispersive contaminant transport is carried out by using high-order compact finite difference schemes combined with second-order MacCormack and fourth-order Runge-Kutta schemes.
Gurhan Gurarslan
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A parallel compact-TVD method for compressible fluid dynamics employing shared and distributed-memory paradigms [PDF]
, 2011 A novel multi-block compact-TVD finite difference method for the simulation of compressible flows is presented. The method combines distributed and shared-memory paradigms to take advantage of the configuration of modern supercomputers that host many ...
Emerson, David +2 more
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