Finite Difference Schemes for Hyperbolic PDEs
High-Resolution Finite Compact Difference Schemes for Hyperbolic Conservation Laws
... ; a ¼ 0:5; z ¼ 0:7; d ¼ 0:005; a ¼ 10; b ¼ log 2=36d 2 . The solution includes a smooth but narrow combination of Gaussians, a square wave, a sharp triangle wave, and a half ellipse [19]. 200 grid points are used and ...
24
On the numerical solution of hyperbolic IBVP with high-order stable finite difference schemes
... the hyperbolic equation in a Hilbert space H with self-adjoint positive definite operator A is ...difference schemes for the approximate solution of this problem are ...difference schemes are ...
34
Finite Difference Schemes for Heston Model
... Heston model is a nice benchmark in testing numerical schemes dealing with parabolic partial differential equations. The explicit scheme is a quick approach while it requires small time steps to retain the ...
47
Mean Square Convergent Finite Difference Scheme for Stochastic Parabolic PDEs
... This work is licensed under the Creative Commons Attribution International License (CC BY). http://creativecommons.org/licenses/by/4.0/ Abstract Stochastic partial differential equations (SPDEs) describe the dynamics of ...
10
Spurious lattice solitons for linear finite difference schemes
... The goal of this work is to show that lattice solitons are solution of the general linear finite-differenced version of the linear advection equation. The occurance of such a spurious solitons, which exhibits a very long ...
17
Finite Difference Schemes for Black-Scholes with Asian Option
... using Finite-difference method to solve the Black-Scholes partial differential equation for the Asian Option valuation ...Option; finite-difference methods, numerical solutions, black scholes ...
8
Numerical Study of Fisher’s Equation by Finite Difference Schemes
... proposed schemes. It is shown that the numerical schemes give better ...the schemes can be easily applied to a wide class of higher dimension non-linear reaction diffusion equ- ...
17
Finite difference schemes for incompressible flows in vorticity formulations
... In this paper, we review some recent progress made in 4, 5, 6] on nite dierence schemes for viscous incompressible ows using vorticity formulation. The main purpose of this series of papers 4, 5, 6] is to ...
15
A Cartesian Cut‐Stencil Method for the Finite Difference Solution of PDEs in Complex Domains
... cut-stencil finite difference algorithm/formulations and corresponding results for some mathematical sample problems and some engineering problems from advanced elasticity and heat transfer ...solving ...
228
Finite difference method for the hyperbolic system of equations with nonlocal boundary conditions
... the hyperbolic system of equations with nonlocal boundary conditions is ...the hyperbolic system of equations with nonlocal boundary conditions are ...difference schemes for numerical solutions of the ...
24
Conservative finite difference schemes for the chiral nonlinear Schrödinger equation
... Full list of author information is available at the end of the article Abstract In this paper, we derive three finite difference schemes for the chiral nonlinear Schrödinger equation (CNLS). The CNLS equation has ...
14
Finite difference schemes for linear stochastic integro-differential equations
... implicit-explicit finite dif- ference scheme for linear stochastic integro-differential equations of parabolic type arising in non-linear filtering of jump-diffusion ...
36
Nonstandard finite difference schemes for a fractional order Brusselator system
... NSFD schemes have been investigated for the numerical solution of the fractional-order Brusselator differential ...NSFD schemes allow to replicate quite well the behavior of the true so- lution, and hence ...
13
Comparison of Finite Difference Schemes for the Wave Equation Based on Dispersion
... Analysis Finite difference schemes are widely used in solving time dependent partial differential equations numerically, however in approximation of derivatives using Taylor’s series, truncation of ...
19
Nonstandard Finite Difference Schemes with Application to Finance: Option Pricing
... accurate schemes, but it is much faster than the Crank-Nicolson ...applying finite difference schemes in Finance because usually oscillations derive from an inaccurate approximation of the ...
15
John Strikwerda Finite Difference Schemes and Partial Differential Equations 2004
... in Higher Dimensions 165 7.1 Stability of Finite Difference Schemes for Systems of Equations 165 7.2 Finite Difference Schemes in Two and Three Dimensions 168 7.3 The Alternating Directi[r] ...
448
Finite Difference Schemes for Stochastic Partial Differential Equations in Sobolev Spaces
... W 2 m -norms the error of finite difference approximations for the solutions of parabolic SPDEs. Hence error estimates in supremum norms are proved via Sobolev’s embedding if 2m is larger than the dimension ...
23
High Resolution Compact Finite Difference Schemes for Convection Dominated Problems
... compact finite difference schemes for spatial discretization of the first-order derivative are ...the schemes is provided and the best discretization scheme for convec- tion dominated problems ...
8
Improved averaging-based finite-difference schemes for the convection-diffusion equation
... Near injection wells, both convection and diffusion have vital effects on the fluid flow. Thus, it is necessary to account for both convection and diffusion processes in modelling any recovery process. Many researchers ...
129
ADI FINITE DIFFERENCE SCHEMES FOR OPTION PRICING IN THE HESTON MODEL WITH CORRELATION
... these schemes will be useful also for general two-dimensional convection-diffusion-reaction equations with mixed derivative ...a finite difference discretization of the Heston ...type schemes ...
18