Related papers: ADI finite difference schemes for the Heston-Hull-…
Recently, a nonlinear Poisson equation has been introduced to model nonlinear and nonlocal hyperpolarization effects in electrostatic solute-solvent interaction for biomolecular solvation analysis. Due to a strong nonlinearity associated…
We introduce and analyze an explicit time discretization scheme for the one-dimensional stochastic Allen-Cahn, driven by space-time white noise. The scheme is based on a splitting strategy, and uses the exact solution for the nonlinear term…
In this work, we study two-dimensional diffusion-wave equations with variable exponent, modeling mechanical diffusive wave propagation in viscoelastic media with spatially varying properties. We first transform the diffusion-wave model into…
Efficient and accurate numerical simulation of 3D acoustic wave propagation in heterogeneous media plays an important role in the success of seismic full waveform inversion (FWI) problem. In this work, we employed the combined scheme and…
The aim of this paper is to apply a high-order discontinuous-in-time scheme to second-order hyperbolic partial differential equations (PDEs). We first discretize the PDEs in time while keeping the spatial differential operators…
In this paper, we consider the initial boundary value problem of the two dimensional multi-term time fractional mixed diffusion and diffusion-wave equations. An alternating direction implicit (ADI) spectral method is developed based on…
In this paper, we investigate the numerical solution of the two-dimensional fractional Laplacian wave equations. After splitting out the Riesz fractional derivatives from the fractional Laplacian, we treat the Riesz fractional derivatives…
In this work, we develop a localized numerical scheme with low regularity requirements for solving time-fractional integro-differential equations. First, a fully discrete numerical scheme is constructed. Specifically, for temporal…
In Becker and Jentzen (2019) and Becker et al. (2017), an explicit temporal semi-discretization scheme and a space-time full-discretization scheme were, respectively, introduced and analyzed for the additive noise-driven stochastic…
This work studies the parallelization and empirical convergence of two finite difference acoustic wave propagation methods on 2-D rectangular grids, that use the same alternating direction implicit (ADI) time integration. This ADI…
In this paper, we propose an iterative splitting method to solve the partial differential equations in option pricing problems. We focus on the Heston stochastic volatility model and the derived two-dimensional partial differential equation…
We study a hybrid tree-finite difference method which permits to obtain efficient and accurate European and American option prices in the Heston Hull-White and Heston Hull-White2d models. Moreover, as a by-product, we provide a new…
In this work, we design and investigate contrast-independent partially explicit time discretizations for wave equations in heterogeneous high-contrast media. We consider multiscale problems, where the spatial heterogeneities are at subgrid…
In this paper, we propose third-order semi-discretized schemes in space based on the tempered weighted and shifted Gr\"unwald difference (tempered-WSGD) operators for the tempered fractional diffusion equation. We also show stability and…
In the present paper we consider a 2-D shallow-water equations (SWE) model on a $\beta$-plane solved using an alternating direction fully implicit (ADI) finite-difference scheme on a rectangular domain. The scheme was shown to be…
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. In…
A high-accuracy time discretization is discussed to numerically solve the nonlinear fractional diffusion equation forced by a space-time white noise. The main purpose of this paper is to improve the temporal convergence rate by modifying…
We introduce a generalized finite difference method for solving a large range of fully nonlinear elliptic partial differential equations in three dimensions. Methods are based on Cartesian grids, augmented by additional points carefully…
In this paper, a compact alternating direction implicit (ADI) method has been developed for solving two-dimensional Riesz space fractional diffusion equation. The precision of the discretization method used in spatial directions is twice…
This paper discusses a multi-term time-fractional delay differential equation in a real Hilbert space. An iterative scheme for a multi-term time-fractional differential equation is established using Rothe's method. The method of…