Results 11 to 20 of about 194,427 (265)
Advances in Difference Equations, 2020 This paper presents two high-order exponential time differencing precise integration methods (PIMs) in combination with a spatially global sixth-order compact finite difference scheme (CFDS) for solving parabolic equations with high accuracy.
Changkai Chen +3 more
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Journal of Mathematics, 2022 In this paper, a new sixth-order finite difference compact reconstruction unequal-sized weighted essentially nonoscillatory (CRUS-WENO) scheme is designed for solving the nonlinear degenerate parabolic equations on structured meshes.
Liang Li, Yan Zhang, Jun Zhu
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Applied Mathematics in Science and Engineering, 2023 In this study, a high-order compact finite difference method is used to solve Lane–Emden equations with various boundary conditions. The norm is to use a first-order finite difference scheme to approximate Neumann and Robin boundary conditions, but that ...
James Malele +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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Compact difference scheme for two-dimensional fourth-order hyperbolic equation
Advances in Difference Equations, 2019 In this paper, we mainly study an initial and boundary value problem of a two-dimensional fourth-order hyperbolic equation. Firstly, the fourth-order equation is written as a system of two second-order equations by introducing two new variables. Next, in
Qing Li, Qing Yang
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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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Fractal and Fractional, 2022 This paper designs a new finite difference compact reconstruction unequal-sized weighted essentially nonoscillatory scheme (CRUS-WENO) for solving fractional differential equations containing the fractional Laplacian operator.
Yan Zhang, Jun Zhu
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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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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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An Efficient Compact Difference Method for Temporal Fractional Subdiffusion Equations
Advances in Mathematical Physics, 2019 In this paper, a high-order compact finite difference method is proposed for a class of temporal fractional subdiffusion equation. A numerical scheme for the equation has been derived to obtain 2-α in time and fourth-order in space.
Lei Ren, Lei Liu
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