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Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing

open access: yesApplied Mathematics and Computation, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Attipoe Sena, David, Tambue, Antoine
openaire   +4 more sources

Convergence of a Mimetic Finite Difference Method for Static Diffusion Equation [PDF]

open access: yesAdvances in Difference Equations, 2007
The numerical solution of partial differential equations with finite differences mimetic methods that satisfy properties of the continuum differential operators and mimic discrete versions of appropriate integral identities is more likely to produce ...
Rojas S   +3 more
doaj   +4 more sources

Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options

open access: yesResults in Applied Mathematics, 2022
The Black–Scholes differential operator which underlies the option pricing of European and American options is known to be degenerate close to the boundary at zero.
David Sena Attipoe, Antoine Tambue
doaj   +1 more source

Physics-Capturing Discretizations for Spectral Wind-Wave Models

open access: yesFluids, 2021
This paper discusses the discretization methods that have been commonly employed to solve the wave action balance equation, and that have gained a renewed interest with the widespread use of unstructured grids for third-generation spectral wind-wave ...
Marcel Zijlema
doaj   +1 more source

A Finite-Element Framework for a Mimetic Finite-Difference Discretization of Maxwell's Equations [PDF]

open access: yesSIAM Journal on Scientific Computing, 2021
Maxwell's equations are a system of partial differential equations that govern the laws of electromagnetic induction. We study a mimetic finite-difference (MFD) discretization of the equations which preserves important underlying physical properties.
James H. Adler   +3 more
openaire   +3 more sources

Local flux mimetic finite difference methods [PDF]

open access: yesNumerische Mathematik, 2008
The authors use a MFPA-type construction to develop new cell-centered discretization methods on polyhedral meshes for diffusion problems with full tensor coefficients. Under a few constructive assumptions they prove first-order convergence for both the velocity and the pressure variables, as well as second-order superconvergence for the pressure ...
Lipnikov, Konstantin   +2 more
openaire   +2 more sources

Mimetic finite differences for elliptic problems [PDF]

open access: yesESAIM: Mathematical Modelling and Numerical Analysis, 2008
In multi-physics codes used adaptive mesh refinement techniques and other special requirements for the solution of partial differential equations results in polyhedral meshes with possible degenerate elements. In comparison to other grids polyhedral meshes can improve the adaption of the grid to special requirements of the numerical solution and can ...
Brezzi F, Buffa A, Lipnikov K
openaire   +3 more sources

High order mimetic difference simulation of unsaturated flow using Richards equation

open access: yesMathematics in Applied Sciences and Engineering, 2020
The vadose zone is the portion of the subsurface above the water table and its pore space usually contains air and water. Due to the presence of infiltration, erosion, plant growth, microbiota, contaminant transport, aquifer recharge, and discharge to ...
Angel Boada Velazco   +2 more
doaj   +1 more source

A mimetic finite difference method using Crank-Nicolson scheme for unsteady diffusion equation

open access: yesRevista de Matemática: Teoría y Aplicaciones, 2010
n this article a new mimetic finite difference method to solve unsteady diffusion equation is presented. It uses Crank-Nicolson scheme to obtain time approximations and second order mimetic discretizations for gradient and divergence operators in space ...
Iliana A. Mannarino
doaj   +1 more source

Mimetic finite difference methods in image processing [PDF]

open access: yesComputational & Applied Mathematics, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bazan, C.   +3 more
openaire   +3 more sources

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