Related papers: On Multistep Stabilizing Correction Splitting Meth…
This work presents a hybrid approach to solve the maximum stable set problem, using constraint and semidefinite programming. The approach consists of two steps: subproblem generation and subproblem solution. First we rank the variable…
The flux reconstruction (FR) method has gained popularity in the research community as it recovers promising high-order methods through modally filtered correction fields, such as the discontinuous Galerkin method, amongst others, on…
In this paper, we present a reduced basis method for pricing European and American options based on the Black-Scholes and Heston model. To tackle each model numerically, we formulate the problem in terms of a time dependent variational…
In this paper we describe splitting methods for solving Levitron, which is motivated to simulate magnetostatic traps of neutral atoms or ion traps. The idea is to levitate a magnetic spinning top in the air repelled by a base magnet. The…
Splitting methods constitute a widely used class of numerical integrators for ordinary and partial differential equations, particularly well suited to problems that can be decomposed into simpler subproblems. High-order splitting schemes…
We propose a hybrid tree-finite difference method in order to approximate the Heston model. We prove the convergence by embedding the procedure in a bivariate Markov chain and we study the convergence of European and American option prices.…
A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov…
In this paper we investigate the relationship between stabilized and enriched finite element formulations for the Stokes problem. We also present a new stabilized mixed formulation for which the stability parameter is derived purely by the…
In the numerical solution of partial differential equations using a method-of-lines approach, the availability of high order spatial discretization schemes motivates the development of sophisticated high order time integration methods. For…
We consider a class of relaxation problems mixing slow and fast variations which can describe population dynamics models or hyperbolic systems, with varying stiffness (from non-stiff to strongly dissipative), and develop a multi-scale…
This paper deals with the numerical solution of the Heston partial differential equation that plays an important role in financial option pricing, Heston (1993, Rev. Finan. Stud. 6). A feature of this time-dependent, two-dimensional…
Non-intrusive methods have been used since two decades to derive reduced-order models for geometrically nonlinear structures, with a particular emphasis on the so-called STiffness Evaluation Procedure (STEP), relying on the static…
Multilinear systems play an important role in scientific calculations of practical problems. In this paper, we consider a tensor splitting method with a relaxed Anderson acceleration for solving multilinear systems. The new method preserves…
A stable numerical solution of the steady Stokes problem requires compatibility between the choice of velocity and pressure approximation that has traditionally proven problematic for meshless methods. In this work, we present a…
In this work, we study the application the classical Richardson extrapolation (RE) technique to accelerate the convergence of sequences resulting from linear multistep methods (LMMs) for solving initial-value problems of systems of ordinary…
Jump penalty stabilisation techniques have been recently proposed for continuous and discontinuous high order Galerkin schemes [1,2,3]. The stabilisation relies on the gradient or solution discontinuity at element interfaces to incorporate…
Stochastic versions of proximal methods have gained much attention in statistics and machine learning. These algorithms tend to admit simple, scalable forms, and enjoy numerical stability via implicit updates. In this work, we propose and…
We explore a class of splitting schemes employing implicit-explicit (IMEX) time-stepping to achieve accurate and energy-stable solutions for thin-film equations and Cahn-Hilliard models with variable mobility. This splitting method…
Operator-splitting methods are widely used to solve differential equations, especially those that arise from multi-scale or multi-physics models, because a monolithic (single-method) approach may be inefficient or even infeasible. The most…
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…