Operator splitting
A Simple Generalisation of Kirk’s Approximation for Multi Asset Spread Options by the Lie Trotter Operator Splitting Method
... Lie-Trotter operator splitting method, we have presented a new unified approach not only to rigorously derive Kirk’s approximation but also to obtain a generali- sation for multi-asset spread options in a ...
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Numerical Solutions of a System of ODEs Based on Lie Trotter and Strang Operator splitting Methods
... Strang splitting as second order splitting method for Cauchy problem and compare the results between the two ...Strang Splitting. Section IV presents The Con- sistency of the operator ...
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New Resolution Strategy for Multi-scale Reaction Waves using Time Operator Splitting and Space Adaptive Multiresolution: Application to Human Ischemic Stroke*
... time operator splitting with high oder dedicated time integration methods and space adaptive ...a splitting time step which is not restricted neither by the fastest scales in the source term nor by ...
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Valuing Multi-asset Spread Options by the Lie-Trotter Operator Splitting Method
... Trotter operator splitting method, we have presented a new unified approach not only to rigorously derive Kirk’s approximation but also to obtain a generalisation for multi-asset spread options ...
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Pricing Dual Spread Options by the Lie-Trotter Operator Splitting Method
... Lie-Trotter operator splitting method pro- posed by Lo (2014) to derive a closed-form ap- proximate price formula for the (three-asset) dual spread options,[5,6] whose …nal payo¤ has the form max (S 1 S 3 ...
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SOLUTION OF TWO DIMENSIONAL BURGERS EQUATION BY USING HYBRID CRANK-NICHOLSON AND LAX-FREDRICHS’ FINITE DIFFERENCE SCHEMES ARISING FROM OPERATOR SPLITTING
... (2.24) (2.25) (2.26) (2.27) (2.28) (2.29) (2.30) Using equations (2.17)-(2.30) in equation (2.16) and letting , we obtain a discretization scheme by operator splitting. ...
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Higher order operator splitting methods for an image de-noising model
... for operator splitting methods such as SIM, AOS and AMOS are presented based on minimization of ROF model related with total variation ap- ...existing splitting methods in case of stability and CPU ...
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An efficient operator splitting method for local region Chan Vese model
... evolution. However, the procedure is time-consuming, and, more importantly, it may lead to the movement of the zero level set location. In [35-37], variational level set methods are presented, all of which effectively ...
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Operator Splitting Method for Coupled Problems:Transport and Maxwell Equations
... The paper is organized as follows. The discretization methods are described in Section 2. In Section 3, the applied operator splitting methods are presented. The error analysis of the coupled methods is ...
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The Operator Splitting Method for Black Scholes Equation
... The Operator Splitting method is applied to differential equations occurring as mathematical models in fi- nancial ...various operator splitting methods to obtain an effective and accurate ...
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The Sum and Difference of Two Constant Elasticity of Variance Stochastic Variables
... Lie-Trotter operator splitting method to model the dynamics of both the sum and difference of two correlated constant elasticity of variance (CEV) stochastic ...Lie-Trotter splitting approximation, ...
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Numerical Study of the Injection of Carbon Dioxide in a Homogeneous Porous Media
... the operator splitting technique to properly treat the time scale of each physical phenomenon and a high-order non-oscillatory central-scheme finite volume method for nonli- near hyperbolic equations ...
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REVIEW PAPER ON FACE LIVENESS DETECTION USING EULER METHOD BASED ON DIFFUSION SPEED CALCULATION
... ADDICTIVE OPERATOR SPLITTING SCHEME FOR NON LINEAR DIFFUSION:- For non linear diffusion author presented a new method called Addictive operator splitting ...
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Numerical Simulation in Electrocardiology Using an Explicit Generalized Finite Difference Method
... The operator splitting reduces the solution of the monodomain model to solving an anisotropic parabolic PDE and nonlinear systems of ...the operator splitting algorithm, but in areas with ...
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An Accurate AOS Scheme for Multiplicative Noise Removal Model Based on TV Approach
... additive operator splitting scheme for multiplicative noise/speckle removal is ...Additive Operator Splitting scheme is simple, reliable and more efficient than iterative schemes of fixed ...
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Matrix splitting principles
... regular splitting [2] but they refer it to the Ortega-Rheinboldt’s paper [11], where there is the original definition of weak regular splitting for which Theorem ...
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Comparative Study Of Edge Detection Algorithms on Medical Images
... It was invented by Marr and Hilderth (1980).The Gaussian filtering is combined with Laplacian to break down the image where the intensity varies to detect the edges effectively. It finds the correct place of edges and ...
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Splitting of Dissipative Vortices
... Abstract. We report transformations of dissipative vortices leading to their splitting in a controllable way. These phenomena are analyzed employing the basic model describing diverse nonlinear physical systems ...
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Boolean Exponent Splitting
... In this paper, we show how an exponent can be split into two shares, where the exponent is the XOR sum of the two shares and the cost is typically an extra register and some register copies per bit. A significant ...
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Applications of laser, optical and paramagnetic spectroscopy
... field splitting parameter A, the n bonding angular-overlap parameter anisotropy, and the off-diagonal angular overlap parameter eOJC(±), are given below the ...
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