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The matter of the stability for multi-asset American option pricing problems is a present remaining challenge. In this paper a general transformation of variables allows to remove cross derivative terms reducing the stencil of the proposed…

Pricing of Securities · Quantitative Finance 2017-01-31 Rafael Company , Vera Egorova , Lucas Jódar , Fazlollah Soleymani

In this work, we propose and investigate stable high-order collocation-type discretisations of the discontinuous Galerkin method on equidistant and scattered collocation points. We do so by incorporating the concept of discrete least…

Numerical Analysis · Mathematics 2021-02-24 Jan Glaubitz , Philipp Oeffner

We study a class of evolutionary partial differential systems with two components related to second order (in time) non-evolutionary equations of odd order in spatial variable. We develop the formal diagonalisation method in symbolic…

Exactly Solvable and Integrable Systems · Physics 2007-05-23 Vladimir S. Novikov , Jing Ping Wang

We introduce novel approximate systems for dispersive and diffusive-dispersive equations with nonlinear fluxes. For purely dispersive equations, we construct a first-order, strictly hyperbolic approximation. Local well-posedness of smooth…

Analysis of PDEs · Mathematics 2025-12-05 Rahul Barthwal , Firas Dhaouadi , Christian Rohde

In this paper, we introduce and analyze a class of numerical schemes that demonstrate remarkable superiority in terms of efficiency, the preservation of positivity, energy stability, and high-order precision to solve the time-dependent…

Numerical Analysis · Mathematics 2025-07-01 Waixiang Cao , Yuzhe Qin , Minqiang Xu

This study presents an efficient, accurate, effective and unconditionally stable time stepping scheme for the Darcy-Brinkman equations in double-diffusive convection. The stabilization within the proposed method uses the idea of stabilizing…

Numerical Analysis · Mathematics 2018-04-10 Aytekin Çıbık , Medine Demir , Songul Kaya

The following work concerns the construction of an entropy dissipative finite volume solver based on the convex combination of an entropy conservative and an entropy dissipative flux. We aim to construct a semidiscrete scheme that is…

Numerical Analysis · Mathematics 2022-03-01 Simon-Christian Klein

A new simple Lagrangian method with favorable stability and efficiency properties for computing general plane curve evolutions is presented. The method is based on the flowing finite volume discretization of the intrinsic partial…

Numerical Analysis · Mathematics 2009-04-09 Karol Mikula , Daniel Sevcovic , Martin Balazovjech

We consider the 2D Boussinesq equations with a velocity damping term in a strip $\mathbb{T}\times[-1,1]$, with impermeable walls. In this physical scenario, where the \textit{Boussinesq approximation} is accurate when density/temperature…

Analysis of PDEs · Mathematics 2018-10-02 Angel Castro , Diego Córdoba , Daniel Lear

We consider a dissipative vector field which is represented by a nearly-integrable Hamiltonian flow to which a non symplectic force is added, so that the phase space volume is not preserved. The vector field depends upon two parameters,…

Dynamical Systems · Mathematics 2012-02-13 Alessandra Celletti , Christoph Lhotka

We consider the stationary Hamilton-Jacobi equation where the dynamics can vanish at some points, the cost function is strictly positive and is allowed to be discontinuous. More precisely, we consider special class of discontinuities for…

Numerical Analysis · Mathematics 2013-01-09 Adriano Festa , Maurizio Falcone

Travelling and rotating waves are ubiquitous phenomena observed in time dependent PDEs modelling the combined effect of dissipation and non-linear interaction. From an abstract viewpoint they appear as relative equilibria of an equivariant…

Numerical Analysis · Mathematics 2018-10-30 Wolf-Jürgen Beyn , Denny Otten

We introduce an arbitrary order, stabilized finite element method for solving a unique continuation problem subject to the time-harmonic elastic wave equation with variable coefficients. Based on conditional stability estimates we prove…

Numerical Analysis · Mathematics 2023-04-25 Erik Burman , Janosch Preuss

We consider semi-discrete discontinuous Galerkin approximations of a general elastodynamics problem, in both {\it displacement} and {\it displacement-stress} formulations. We present the stability analysis of all the methods in the natural…

Numerical Analysis · Mathematics 2013-10-31 Paola F. Antonietti , Blanca Ayuso de Dios , Ilario Mazzieri , Alfio Quarteroni

The input/output stability of an interconnected system composed of an ordinary differential equation and a damped string equation is studied. Issued from the literature on time-delay systems, an exact stability result is firstly derived…

Optimization and Control · Mathematics 2018-09-24 Matthieu Barreau , Frédéric Gouaisbaut , Alexandre Seuret , Rifat Sipahi

We examine the time discretization of Lindblad master equations in infinite-dimensional Hilbert spaces. Our study is motivated by the fact that, with unbounded Lindbladian, projecting the evolution onto a finite-dimensional subspace using a…

Numerical Analysis · Mathematics 2025-03-04 Rémi Robin , Pierre Rouchon , Lev-Arcady Sellem

We study a class of elastic systems described by a (hyperbolic) partial differential equation. Our working example is the equation of a vibrating string subject to linear disturbance. The main goal is to establish conditions for…

Analysis of PDEs · Mathematics 2007-05-23 M. I. Caiado , A. V. Sarychev

The article addresses the convergence of implicit and semi-implicit, fully discrete approximations of a class of nonlinear parabolic evolution problems. Such schemes are popular in the numerical solution of evolutions defined with the…

Numerical Analysis · Mathematics 2019-02-22 Sören Bartels , Michael Růžička

We present a general abstract framework for the systematic numerical approximation of dissipative evolution problems. The approach is based on rewriting the evolution problem in a particular form that complies with an underlying energy or…

Numerical Analysis · Mathematics 2018-04-25 Herbert Egger

This paper address the approximation of the dynamic of two fluids with non matching densities and viscosities modeled by the Allen-Cahn equation coupled with the time dependent Navier-Stokes equations. Existence, uniqueness and a maximum…

Analysis of PDEs · Mathematics 2019-02-15 J. Deteix , G. L. Ndetchoua Kouamo , D. Yakoubi
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