Related papers: Fourth order compact schemes for variable coeffici…
In this article, a three-time levels compact scheme is proposed to solve the partial integro-differential equation governing the option prices under jump-diffusion models. In the proposed compact scheme, the second derivative approximation…
A discretization method with non-matching grids is proposed for the coupled Stokes-Darcy problem that uses a mortar variable at the interface to couple the marker and cell (MAC) method in the Stokes domain with the Raviart-Thomas mixed…
In this paper we will consider distributed Linear-Quadratic Optimal Control Problems dealing with Advection-Diffusion PDEs for high values of the P\'eclet number. In this situation, computational instabilities occur, both for steady and…
We study the numerical anisotropy existent in compact difference schemes as applied to hyperbolic partial differential equations, and propose an approach to reduce this error and to improve the stability restrictions based on a previous…
We discuss the solution of regular and singular Sturm-Liouville problems by means of High Order Finite Difference Schemes. We describe a code to define a discrete problem and its numerical solution by means of linear algebra techniques.…
We describe a compatible finite element discretisation for the shallow water equations on the rotating sphere, concentrating on integrating consistent upwind stabilisation into the framework. Although the prognostic variables are velocity…
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…
The reduction of computational costs in the numerical solution of nonstationary problems is achieved through splitting schemes. In this case, solving a set of less computationally complex problems provides the transition to a new level in…
A conforming finite element scheme with mixed explicit-implicit time discretization for quasi-incompressible Navier-Stokes-Maxwell-Stefan systems in a bounded domain with periodic boundary conditions is presented. The system consists of the…
This work aims to construct an efficient and highly accurate numerical method to address the time singularity at $t=0$ involved in a class of time-fractional parabolic integro-partial differential equations in one and two dimensions. The…
In this paper we propose the first better than second order accurate method in space and time for the numerical solution of the resistive relativistic magnetohydrodynamics (RRMHD) equations on unstructured meshes in multiple space…
We present a higher order space-time unfitted finite element method for convection-diffusion problems on coupled (surface and bulk) domains. In that way, we combine a method suggested by Heimann, Lehrenfeld, Preu{\ss} (SIAM J. Sci. Comput.…
We develop two isogeometric divergence-conforming collocation schemes for incompressible flow. The first is based on the standard, velocity-pressure formulation of the Navier-Stokes equations, while the second is based on the rotational…
This paper is devoted to studying null controllability for a class of stochastic fourth order semi-discrete parabolic equations, where the spatial variable is discretized with finite difference scheme and the time is kept as a continuous…
Time-fractional parabolic equations with a Caputo time derivative of order $\alpha\in(0,1)$ are discretised in time using collocation methods, which assume that the Caputo derivative of the computed solution is piecewise-polynomial. For…
In this study the numerical performance of the fourth order compact formulation of the steady 2-D incompressible Navier-Stokes equations introduced by Erturk et al. (Int. J. Numer. Methods Fluids, 50, 421-436) will be presented. The…
In this work, in order to obtain higher-order schemes for solving forward backward stochastic differential equations, we adopt the high-order multi-step method in [W. Zhao, Y. Fu and T. Zhou, SIAM J. Sci. Comput., 36(4) (2014),…
Time-fractional parabolic equations with a Caputo time derivative are considered. For such equations, we explore and further develop the new methodology of the a-posteriori error estimation and adaptive time stepping proposed in [7]. We…
We present the multiplier method of constructing conservative finite difference schemes for ordinary and partial differential equations. Given a system of differential equations possessing conservation laws, our approach is based on…
A hybridized discontinuous Galerkin method is proposed for solving 2D fractional convection-diffusion equations containing derivatives of fractional order in space on a finite domain. The Riemann-Liouville derivative is used for the spatial…