Search results for "Derivative"

Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation

2004

A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. The proof is based on a careful study of the discretization matrices and on an abstract convergence result due to Barles and Souganides.

Pulse pile-up identification and reconstruction for liquid scintillator based neutron detectors

2018

WOS: 000433206800010 The issue of pulse pile-up is frequently encountered in nuclear experiments involving high counting rates, which will distort the pulse shapes and the energy spectra. A digital method of off-line processing of pile-up pulses is presented. The pile-up pulses were firstly identified by detecting the downward-going zero-crossings in the first-order derivative of the original signal, and then the constituent pulses were reconstructed based on comparing the pile-up pulse with four models that are generated by combining pairs of neutron and.. standard pulses together with a controllable time interval. The accuracy of this method in resolving the pile-up events was investigate…

ChemInform Abstract: Dimethylpyridin-4-ylamine-Catalyzed Alcoholysis of 2-Amino-N,N,N-trimethyl-9H-purin-6-ylammonium Chloride: An Effective Route to…

2010

On functions with derivatives in a Lorentz space

1999

We establish a sharp integrability condition on the partial derivatives of a Sobolev mapping to guarantee that sets of measure zero get mapped to sets of measure zero. This condition is sharp also for continuity and differentiability almost everywhere.

A mechanical picture of fractional-order Darcy equation

2015

Abstract In this paper the authors show that fractional-order force-flux relations are obtained considering the flux of a viscous fluid across an elastic porous media. Indeed the one-dimensional fluid mass transport in an unbounded porous media with power-law variation of geometrical and physical properties yields a fractional-order relation among the ingoing flux and the applied pressure to the control section. As a power-law decay of the physical properties from the control section is considered, then the flux is related to a Caputo fractional derivative of the pressure of order 0 ⩽ β ≤ 1 . If, instead, the physical properties of the media show a power-law increase from the control sectio…

Generalized differential transform method for nonlinear boundary value problem of fractional order

2015

Abstract In this paper the generalized differential transform method is applied to obtain an approximate solution of linear and nonlinear differential equation of fractional order with boundary conditions. Several numerical examples are considered and comparisons with the existing solution techniques are reported. Results show that the method is effective, easier to implement and very accurate when applied for the solution of fractional boundary values problems.

Step-by-step integration for fractional operators

2018

Abstract In this paper, an approach based on the definition of the Riemann–Liouville fractional operators is proposed in order to provide a different discretisation technique as alternative to the Grunwald–Letnikov operators. The proposed Riemann–Liouville discretisation consists of performing step-by-step integration based upon the discretisation of the function f(t). It has been shown that, as f(t) is discretised as stepwise or piecewise function, the Riemann–Liouville fractional integral and derivative are governing by operators very similar to the Grunwald–Letnikov operators. In order to show the accuracy and capabilities of the proposed Riemann–Liouville discretisation technique and th…

On the Stochastic Response of a Fractionally-damped Duffing Oscillator

2012

A numerical method is presented to compute the response of a viscoelastic Duffing oscillator with fractional derivative damping, subjected to a stochastic input. The key idea involves an appropriate discretization of the fractional derivative, based on a preliminary change of variable, that allows to approximate the original system by an equivalent system with additional degrees of freedom, the number of which depends on the discretization of the fractional derivative. Unlike the original system that, due to the presence of the fractional derivative, is governed by non-ordinary differential equations, the equivalent system is governed by ordinary differential equations that can be readily h…

Efficient numerical methods for pricing American options under stochastic volatility

2007

Five numerical methods for pricing American put options under Heston's stochastic volatility model are described and compared. The option prices are obtained as the solution of a two-dimensional parabolic partial differential inequality. A finite difference discretization on nonuniform grids leading to linear complementarity problems with M-matrices is proposed. The projected SOR, a projected multigrid method, an operator splitting method, a penalty method, and a componentwise splitting method are considered. The last one is a direct method while all other methods are iterative. The resulting systems of linear equations in the operator splitting method and in the penalty method are solved u…

Numerical Study of Two Sparse AMG-methods

2003

A sparse algebraic multigrid method is studied as a cheap and accurate way to compute approximations of Schur complements of matrices arising from the discretization of some symmetric and positive definite partial differential operators. The construction of such a multigrid is discussed and numerical experiments are used to verify the properties of the method.