相关论文: Convergence of finite difference schemes for the B…
We consider parabolic Bellman equations with Lipschitz coefficients. Error bounds of order $h^{1/2}$ for certain types of finite-difference schemes are obtained.
The main contribution of this work is to construct and analyze stable and high order schemes to efficiently solve the two-dimensional time Caputo-Fabrizio fractional diffusion equation. Based on a third-order finite difference method in…
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…
Anomalous diffusion is a phenomenon that cannot be modeled accurately by second-order diffusion equations, but is better described by fractional diffusion models. The nonlocal nature of the fractional diffusion operators makes substantially…
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 discuss the solution of regular and singular Sturm-Liouville problems by means of High Order Finite Difference Schemes. We describe a code to define a discrete problem and its numerical solution by means of linear algebra techniques.…
Calculating dynamical diffraction patterns for X-ray topography and similar x-ray scattering-imaging techniques require the numerical integration of the Takagi-Taupin equations. This is usually performed with a simple second order finite…
In this paper, we are interested in the numerical analysis of blow up for the Chipot-Weissler equation with Dirichlet boundary conditions in bounded domain. To approximate the blow up solution, we construct a finite difference scheme and we…
We put forward and analyze an explicit finite difference scheme for the Camassa-Holm shallow water equation that can handle general $H^1$ initial data and thus peakon-antipeakon interactions. Assuming a specified condition restricting the…
We study the rate of convergence of an explicit and an implicit-explicit finite difference scheme for linear stochastic integro-differential equations of parabolic type arising in non-linear filtering of jump-diffusion processes. We show…
We propose a new finite difference scheme for the degenerate parabolic equation \[ \partial_t u - \mbox{div}(|\nabla u|^{p-2}\nabla u) =f, \quad p\geq 2. \] Under the assumption that the data is H\"older continuous, we establish the…
A linear implicit finite difference method is proposed for the approximation of the solution to a periodic, initial value problem for a Schrodinger-Hirota equation. Optimal, second order convergence in the discrete $H^1-$norm is proved,…
Higher order finite difference Weighted Essentially Non-Oscillatory (WENO) schemes have been constructed for conservation laws. For multidimensional problems, they offer high order accuracy at a fraction of the cost of a finite volume WENO…
We consider the generalized Benjamin-Ono (gBO) equation on the real line, $ u_t + \partial_x (-\mathcal H u_{x} + \tfrac1{m} u^m) = 0, x \in \mathbb R, m = 2,3,4,5$, and perform numerical study of its solutions. We first compute the ground…
We construct a finite element like scheme for fully non-linear integro-partial differential equations arising in optimal control of jump-processes. Special cases of these equations include optimal portfolio and option pricing equations in…
We build a simple and general class of finite difference schemes for first order Hamilton-Jacobi (HJ) Partial Differential Equations. These filtered schemes are convergent to the unique viscosity solution of the equation. The schemes are…
We prove that if $u_1,\,u_2$ are solutions of the Benjamin-Ono equation defined in $ (x,t)\in\R \times [0,T]$ which agree in an open set $\Omega\subset \R \times [0,T]$, then $u_1\equiv u_2$. We extend this uniqueness result to a general…
The aim of this work is to develop general optimization methods for finite difference schemes used to approximate linear differential equations. The specific case of the transport equation is exposed. In particular, the minimization of the…
A multi-domain spectral method is presented to compute the Hilbert transform on the whole compactified real line, with a special focus on piece-wise analytic functions and functions with algebraic decay towards infinity. Several examples of…
We consider the Dirichlet problem of the indefinite Helmholtz equation in 1D, $u''+k^2u=f$ in $(0,1)$, $u(0)=g_0$, $u(1)=g_1$, with a constant wavenumber $k\in(0,\infty)\backslash\pi\mathbb{N}$ and a source term $f\in H^p_0(0,1)$, $p\ge 4$.…