相关论文: Convergence of finite difference schemes for the B…
The Black-Scholes (B-S) equation has been recently extended as a kind of tempered time-fractional B-S equations, which becomes an interesting mathematical model in option pricing. In this study, we provide a fast numerical method to…
In this paper, a class of finite difference numerical techniques is presented to solve the second-order linear inhomogeneous damped wave equation. The consistency, stability, and convergences of these numerical schemes are discussed. The…
A stochastic differential equation with coefficients defined in a scale of Hilbert spaces is considered. The existence and uniqueness of finite time solutions is proved by an extension of the Ovsyannikov method. This result is applied to a…
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…
In this paper, we are concerned with the shallow water flow model over non-flat bottom topography by high-order schemes. Most of the numerical schemes in the literature are developed from the original mathematical model of the shallow water…
Finite differences have been widely used in mathematical theory as well as in scientific and engineering computations. These concepts are constantly mentioned in calculus. Most frequently-used difference formulas provide excellent…
We investigate a periodic version of the Benjamin-Ono (BO) equation associated with a discrete Laplacian. We find some special solutions to this equation, and calculate the values of the first two integrals of motion $I_1$ and $I_2$…
This paper provides mathematical analysis of an elementary fully discrete finite difference method applied to inhomogeneous (non-constant density and viscosity) incompressible Navier-Stokes system on a bounded domain. The proposed method…
This paper concerns the construction and analysis of a numerical scheme for a mixed discrete-continuous fragmentation equation. A finite volume scheme is developed, based on a conservative formulation of a truncated version of the…
A fractional Hamiltonian formalism is introduced for the recent combined fractional calculus of variations. The Hamilton-Jacobi partial differential equation is generalized to be applicable for systems containing combined Caputo fractional…
A two-point boundary value problem whose highest-order term is a Caputo fractional derivative of order $\delta \in (1,2)$ is considered. Al-Refai's comparison principle is improved and modified to fit our problem. Sharp a priori bounds on…
We describe high order accurate and stable finite difference schemes for the initial-boundary value problem associated with the magnetic induction equations. These equations model the evolution of a magnetic field due to a given velocity…
In this paper, we give new explicit representations of the Hilbert scheme of $\mu$ points in $\PP^{r}$ as a projective subvariety of a Grassmanniann variety. This new explicit description of the Hilbert scheme is simpler than the previous…
In this paper, we propose a horizontal type method of lines numerical scheme for the unsteady Euler-Bernoulli beam equation. The problem is initially reformulated as a first order system of initial value problems and a suitable one-step…
Finite difference method as a popular numerical method has been widely used to solve fractional diffusion equations. In the general spatial error analyses, an assumption $u\in C^{4}(\bar{\Omega})$ is needed to preserve $\mathcal{O}(h^{2})$…
The issue of inheriting periodicity of an exact solution of a dynamic system by a difference scheme is considered. It is shown that some difference schemes (midpoint scheme, Kahan scheme) in some special cases provide approximate solutions…
We introduce a high-order numerical scheme for fractional ordinary differential equations with the Caputo derivative. The method is developed by dividing the domain into a number of subintervals, and applying the quadratic interpolation on…
We develop numerical algorithms to approximate positive solutions of elliptic boundary value problems with superlinear subcritical nonlinearity on the boundary of the form $-\Delta u + u = 0$ in $\Omega$ with $\frac{\partial u}{\partial…
In this article we discuss the numerical analysis for the finite difference scheme of the one-dimensional nonlinear wave equations with dynamic boundary conditions. From the viewpoint of the discrete variational derivative method we propose…
We describe high order accurate and stable fully-discrete finite difference schemes for the initial-boundary value problem associated with the magnetic induction equations. These equations model the evolution of a magnetic field due to a…