Related papers: Stable higher order finite-difference schemes for …
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth-order accurate in space and second-order accurate in time. Under some restrictions, theoretical results…
Our main objective in this paper is to develop a second-order stochastic numerical method which generalizes the well-known deterministic TR-BDF2 scheme. Since most stochastic techniques used for approximating the solution of a stochastic…
An algorithm for a family of self-starting high-order implicit time integration schemes with controllable numerical dissipation is proposed for both linear and nonlinear transient problems. This work builds on the previous works of the…
This is the second part in a series of papers on multi-step schemes for solving coupled forward backward stochastic differential equations (FBSDEs). We extend the basic idea in our former paper [W. Zhao, Y. Fu and T. Zhou, SIAM J. Sci.…
In numerical models of thin astrophysical disks that use an Eulerian scheme, gas orbits supersonically through a fixed grid. As a result the time step is sharply limited by the Courant condition. Also, because the mean flow speed with…
We have invented a new algorithm to use with self-gravitating SPH Star Formation codes. The new method is designed to enable SPH simulations to self-regulate their numerical resolution, i.e. the number of SPH particles; the latter is…
Recent developments have made it possible to overcome grid-based limitations of finite difference (FD) methods by adopting the kernel-based meshless framework using radial basis functions (RBFs). Such an approach provides a meshless…
This work combines the consistency in lower-order differential operators with external approximations of functional spaces to obtain error estimates for finite difference finite volume schemes on unstructured non-uniform meshes. This…
We develop numerical schemes for solving the isothermal compressible and incompressible equations of fluctuating hydrodynamics on a grid with staggered momenta. We develop a second-order accurate spatial discretization of the diffusive,…
Various classes of stable finite difference schemes can be constructed to obtain a numerical solution. It is important to select among all stable schemes such a scheme that is optimal in terms of certain additional criteria. In this study,…
In wave propagation problems, finite difference methods implemented on staggered grids are commonly used to avoid checkerboard patterns and to improve accuracy in the approximation of short-wavelength components of the solutions. In this…
In this paper, we propose a new virtual interpolation point method to formulate the discrete Stokes equations. We form virtual staggered structure for the velocity and pressure from the actual computation node set. The virtual interpolation…
We present high-order compact schemes for a linear second-order parabolic partial differential equation (PDE) with mixed second-order derivative terms in two spatial dimensions. The schemes are applied to option pricing PDE for a family of…
This paper extends the high-order entropy stable (ES) adaptive moving mesh finite difference schemes developed in [14] to the two- and three-dimensional (multi-component) compressible Euler equations with the stiffened equation of state.…
This paper discusses the importance of high-frequency damping in high-order conservative finite-difference schemes for viscous terms in the Navier-Stokes equations. Investigating nonlinear instability encountered in a high-resolution…
This paper presents stability and accuracy analysis of a high-order explicit time stepping scheme introduced by \cite[Section 2.2]{Buvoli2019}, which exhibits superior stability compared to classical Adams-Bashforth. A conjecture that is…
In this paper, we consider a finite difference grid-based semi-Lagrangian approach in solving the Vlasov-Poisson (VP) system. Many of existing methods are based on dimensional splitting, which decouples the problem into solving linear…
Recently a useful finite-difference scheme was proposed in [Phys. Rev. E 98, 033302 (2018)] to solve Fokker-Planck equations with drift-admitting jumps. However, while the scheme is fifth order for the case with smooth drifts, it is only…
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility jump models, e.g. in Bates model. In such models the option price is determined as the solution of a partial integro-differential…
In this paper we propose a novel arbitrary high order accurate semi-implicit space-time discontinuous Galerkin method for the solution of the two dimensional incompressible Navier-Stokes equations on staggered unstructured triangular…