Related papers: Enhancing accuracy for solving American CEV model …
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.…
A single-step high-order implicit time integration scheme with controllable numerical dissipation at high frequencies is presented for the transient analysis of structural dynamic problems. The amount of numerical dissipation is controlled…
The theme in this paper is the recombining binomial tree to price American put option when the underlying stock follows constant elasticity of variance(CEV) process. Recombining nodes of binomial tree are decided from finite difference…
Wavelet-based grid adaptation methods use multiresolution analysis for error estimation, offering a mathematically rigorous approach to adaptive grid refinement when solving Partial Differential Equations (PDEs). However, applying these…
This paper proposes a composite adaptive control architecture using dual adaptation scheme for dynamical systems comprising time-varying uncertain parameters. While majority of the adaptive control schemes in literature address the case of…
We present a sparse grid high-order alternating direction implicit (ADI) scheme for option pricing in stochastic volatility models. The scheme is second-order in time and fourth-order in space. Numerical experiments confirm the…
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 consider a system of coupled free boundary problems for pricing American put options with regime-switching. To solve this system, we first employ the logarithmic transformation to map the free boundary for each regime to multi-fixed…
This study presents constructions of the space-time Conservation Element and Solution Element (CESE) methods to accommodate adaptive unstructured quadrilateral meshes. Subsequently, a novel algorithm is devised to effectively manage the…
This paper constructs adaptive sparse grid collocation method onto arbitrary order piecewise polynomial space. The sparse grid method is a popular technique for high dimensional problems, and the associated collocation method has been well…
We evaluate the hedging performance of a high-order compact finite difference scheme from [4] for option pricing in Bates model. We compare the scheme's hedging performance to standard finite difference methods in different examples. We…
This paper develops and analyzes an optimal-order semi-discrete scheme and its fully discrete finite element approximation for nonlinear stochastic elastic wave equations with multiplicative noise. A non-standard time-stepping scheme is…
The first order by time partial differential equations are used as models in applications such as fluid flow, heat transfer, solid deformation, electromagnetic waves, and others. In this paper we propose the new numerical method to solve a…
This manuscript presents an adaptive high order discretization technique for elliptic boundary value problems. The technique is applied to an updated version of the Hierarchical Poincar\'e-Steklov (HPS) method. Roughly speaking, the HPS…
In this paper an even higher-order compact GKS up to sixth order of accuracy will be constructed for the shock and acoustic wave computation on unstructured mesh. The compactness is defined by the physical domain of dependence for an…
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…
Simulation of 3D low-frequency electromagnetic fields propagating in the Earth is computationally expensive. We present a fictitious wave domain high-order finite-difference time-domain (FDTD) modelling method on nonuniform grids to compute…
In this paper we present a fourth-order in space and time block-structured adaptive mesh refinement algorithm for the compressible multicomponent reacting Navier-Stokes equations. The algorithm uses a finite volume approach that…
High-resolution simulations of particle-based kinetic plasma models typically require a high number of particles and thus often become computationally intractable. This is exacerbated in multi-query simulations, where the problem depends on…
Numerical solutions of hyperbolic partial differential equations(PDEs) are ubiquitous in science and engineering. Method of lines is a popular approach to discretize PDEs defined in spacetime, where space and time are discretized…