Related papers: Compact difference scheme for parabolic and Schr\"…
The implicit compact finite-difference scheme was developed for evolutionary partial differential parabolic and Schr\"odinger-type equations and systems with a weak nonlinearity. To make a temporal step of the compact implicit scheme we…
In this article, we have developed a higher order compact numerical method for variable coefficient parabolic problems with mixed derivatives. The finite difference scheme, presented here for two-dimensional domains, is based on fourth…
We present a high-order compact finite difference approach for a class of parabolic partial differential equations with time and space dependent coefficients as well as with mixed second-order derivative terms in $n$ spatial dimensions.…
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…
Based on our recent results, in this paper, a compact finite difference scheme is derived for a time fractional differential equation subject to the Neumann boundary conditions. The proposed scheme is second order accurate in time and…
We obtain exact solutions to the class of parabolic partial differential equations of arbitrary dimensionality and with arbitrary potentials. The solutions are presented in a compact-form: as explicit mathematical expressions consisting of…
This study aims to construct a stable, high-order compact finite difference method for solving Sobolev-type equations with Dirichlet boundary conditions in one-space dimension. Approximation of higher-order mixed derivatives in some…
In this paper, two kinds of high-order compact finite difference schemes for second-order derivative are developed. Then a second-order numerical scheme for Riemann-Liouvile derivative is established based on fractional center difference…
Standard explicit schemes for parabolic equations are not very convenient for computing practice due to the fact that they have strong restrictions on a time step. More promising explicit schemes are associated with explicit-implicit…
First-order fully implicit as well as implicit--explicit schemes for coupled elliptic-parabolic systems are discussed in [Ern and Meunier, ESAIM: M2AN, 2009] and [Altmann et al., Math.\ Comp., 2021], respectively. The extension of the…
This paper is concerned with the weak solvability of fully nonlinear parabolic variational inequalities with time dependent convex constraints. As possible approaches to such problems, there are for instance the time-discretization method…
We consider the study of a numerical scheme for an initial- and Dirichlet boundary- value problem for a nonlinear Schr\"odinger equation. We approximate the solution using a, local (non-uniform) two level scheme in time (see C. Besse [6]…
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…
We consider compact finite-difference schemes of the 4th approximation order for an initial-boundary value problem (IBVP) for the $n$-dimensional non-homogeneous wave equation, $n\geq 1$. Their construction is accomplished by both the…
We study solution techniques for parabolic equations with fractional diffusion and Caputo fractional time derivative, the latter being discretized and analyzed in a general Hilbert space setting. The spatial fractional diffusion is realized…
In this paper we generalize the classical Strichartz estimation for solutions of initial problem for linear parabolic and Schr\"odinger PDE on many popular classes {\it pairs} of rearrangement invariant(r.i.) spaces and construct some…
We consider an 1D partial integro-differential equation (PIDE) comprising of an 1D parabolic partial differential equation (PDE) and a nonlocal integral term. The control input is applied on one of the boundaries of the PIDE. Partitioning…
When applying the classical multistep schemes for solving differential equations, one often faces the dilemma that smaller time steps are needed with higher-order schemes, making it impractical to use high-order schemes for stiff problems.…
In this paper, compact finite difference schemes for the modified anomalous fractional sub-diffusion equation and fractional diffusion-wave equation are studied. Schemes proposed previously can at most achieve temporal accuracy of order…
Due to the lack of corresponding analysis on appropriate mapping operator between two grids, high-order two-grid difference algorithms are rarely studied. In this paper, we firstly discuss the boundedness of a local bi-cubic Lagrange…