Related papers: Non standard finite difference scheme preserving d…
In this paper we focus on the subdiffusive Black Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option pricing in the considered model. We derive the governing fractional…
Convergence of a full discretization of a second order stochastic evolution equation with nonlinear damping is shown and thus existence of a solution is established. The discretization scheme combines an implicit time stepping scheme with…
In this paper, a linear second order numerical scheme is developed and investigated for the Allen-Cahn equation with a general positive mobility. In particular, our fully discrete scheme is mainly constructed based on the Crank-Nicolson…
We develop a hybrid spatial discretization for the wave equation in second order form, based on high-order accurate finite difference methods and discontinuous Galerkin methods. The hybridization combines computational efficiency of finite…
We analyze a dual mixed nonconforming discretization of a generalized Darcy-Forchheimer model. Compared to the analogous scheme proposed by Girault and Wheeler, we consider general, i.e., nonquadratic, Forchheimer nonlinearities; we admit…
In this work, we consider the One-Fluid Two-Temperature Euler (OFTT-Euler) equations used for modeling non-equilibrium hydrodynamics. The model comprises a system of nonlinear hyperbolic partial differential equations with non-conservative…
We introduce new control-volume finite-element discretization schemes suitable for solving the Stokes problem. Within a common framework, we present different approaches for constructing such schemes. The first and most established strategy…
Finite difference schemes in the spatial variable for degenerate stochastic parabolic PDEs are investigated. Sharp results on the rate of $L_p$ and almost sure convergence of the finite difference approximations are presented and results on…
In this article, we study the long-time behavior of a finite-volume discretization for a nonlinear kinetic reaction model involving two interacting species. Building upon the seminal work of [Favre, Pirner, Schmeiser, ARMA, 2023], we extend…
The main purpose of this article is to show how symmetry structures in partial differential equations can be preserved in a discrete world and reflected in difference schemes. Three different structure preserving discretizations of the…
We study the strong approximation of stochastic differential equations with discontinuous drift coefficients and (possibly) degenerate diffusion coefficients. To account for the discontinuity of the drift coefficient we construct an…
Explicit numerical finite difference schemes for partial differential equations are well known to be easy to implement but they are particularly problematic for solving equations whose solutions admit shocks, blowups and discontinuities.…
The discrete gradient structure and the positive definiteness of discrete fractional integrals or derivatives are fundamental to the numerical stability in long-time simulation of nonlinear integro-differential models. We build up a…
In this work we present the convergence of a positivity preserving semi-discrete finite volume scheme for a coupled system of two non-local partial differential equations with cross-diffusion. The key to proving the convergence result is to…
By exploiting the fact that conservation laws form the kernel of a discrete Euler operator, we use a recently introduced symbolic-numeric approach to construct a new class of finite difference methods for the modified Korteweg-de Vries…
The paper studies numerical methods that preserve a Lyapunov function of a dynamical system, i.e. numerical approximations whose energy decreases, just like in the original differential equation. With this aim, a discrete gradient method is…
Calculating averages with respect to probability measures on submanifolds is often necessary in various application areas such as molecular dynamics, computational statistical mechanics and Bayesian statistics. In recent years, various…
In this paper, a numerical scheme for a nonlinear McKendrick-von Foerster equation with diffusion in age (MV-D) with the Dirichlet boundary condition is proposed. The main idea to derive the scheme is to use the discretization based on the…
The main contribution of this work is to construct higher than second order accurate total variation diminishing (TVD) schemes which can preserve high accuracy at non-sonic extrema with out induced local oscillations. It is done in the…
In this paper, we study the qualitative behaviour of approximation schemes for Backward Stochastic Differential Equations (BSDEs) by introducing a new notion of numerical stability. For the Euler scheme, we provide sufficient conditions in…