Related papers: Instabilities of explicit finite difference scheme…
We explore in this article the possibilities and limitations of the so-called energy method for analyzing the stability of finite difference approximations to the transport equation with extrapolation numerical boundary conditions at the…
We solve the superhedging problem for European options in an illiquid extension of the Black-Scholes model, in which transactions have transient price impact and the costs and the strategies for hedging are affected by physical or cash…
In recent papers it has been shown that a large class of vectorization mechanisms in gravity, which involve the vector fields becoming apparently tachyonic in some regime, are actually dominated by ghosts and non-perturbative behavior.…
Various classes of stable finite difference schemes can be constructed to obtain a numerical solution. It is important to select among all stable schemes such a scheme that is optimal in terms of certain additional criteria. In this study,…
We present a new understanding of the unstable ghost-like resonance which appears in theories such as quadratic gravity and Lee-Wick type theories. Quantum corrections make this resonance unstable, such that it does not appear in the…
In this paper, a new family of implicit compact finite difference schemes for computation of unsteady convection-diffusion equation with variable convection coefficient is proposed. The schemes are fourth order accurate in space and second…
Quantum fluctuations of a real massless scalar field are studied in the context of the Generalized Uncertainty Principle (GUP). The dynamical finite vacuum energy is found in spatially flat Friedmann-Robertson- Walker (FRW) spacetime which…
The dynamics and stability of multi-spot patterns to the Gray-Scott (GS) reaction-diffusion model in a two-dimensional domain is studied in the singularly perturbed limit of small diffusivity $\epsilon$ of one of the two solution…
We study the weak error associated with the Euler scheme of non degenerate diffusion processes with non smooth bounded coefficients. Namely, we consider the cases of H{\"o}lder continuous coefficients as well as piecewise smooth drifts with…
In a recent paper (see [7]), a quasi-nonlocal coupling method was introduced to seamlessly bridge a nonlocal diffusion model with the classical local diffusion counterpart in a one-dimensional space. The proposed coupling framework removes…
We present a new mimetic finite difference method for diffusion problems that converges on grids with \textit{curved} (i.e., non-planar) faces. Crucially, it gives a symmetric discrete problem that uses only one discrete unknown per curved…
A class of finite difference schemes for solving a fractional anti-diffusive equation, recently proposed by Andrew C. Fowler to describe the dynamics of dunes, is considered. Their linear stability is analyzed using the standard Von Neumann…
Fourth-order accurate compact schemes for variable coefficient convection diffusion equations are considered. A sufficient condition for the stability of the fully discrete problem is derived using a difference equation based approach. The…
The goal of this work is to determine classes of travelling solitary wave solutions for a differential approximation of a finite difference scheme by means of a hyperbolic ansatz. It is shown that spurious solitary waves can occur in…
The equality between dissipation and energy drop is a structural property of gradient-flow dynamics. The classical implicit Euler scheme fails to reproduce this equality at the discrete level. We discuss two modifications of the Euler…
We study markets with no riskless (safe) asset. We derive the corresponding Black-Scholes-Merton option pricing equations for markets where there are only risky assets which have the following price dynamics: (i) continuous diffusions; (ii)…
In this paper a time-fractional Black-Scholes model (TFBSM) is considered to study the price change of the underlying fractal transmission system. We develop and analyze a numerical method to solve the TFBSM governing European options. The…
We show the recently discovered ghost waves - a special class of non-uniform electromagnetic waves in biaxial anisotropic media - can be used for optical sensing based on exceptional points. In addition to showing high sensitivity and…
We present a Boundary Local Fourier Analysis (BLFA) to optimize the relaxation parameters of boundary conditions in a multigrid framework. The method is implemented to solve elliptic equations on curved domains embedded in a uniform…
We study the linear perturbations about nonrotating black holes in the context of degenerate higher-order scalar-tensor (DHOST) theories, using a systematic approach that extracts the asymptotic behaviour of perturbations (at spatial…