Search results for "Finite difference coefficient"
showing 6 items of 6 documents
Accuracy of the finite difference method in stochastic setting.
2006
In this paper we study the accuracy of the finite difference method when the finite difference method is applied to approximately analyze the structure.
High Order Compact Finite Difference Schemes for A Nonlinear Black-Scholes Equation
2001
A nonlinear Black-Scholes equation which models transaction costs arising in the hedging of portfolios is discretized semi-implicitly using high order compact finite difference schemes. A new compact scheme, generalizing the compact schemes of Rigal [29], is derived and proved to be unconditionally stable and non-oscillatory. The numerical results are compared to standard finite difference schemes. It turns out that the compact schemes have very satisfying stability and non-oscillatory properties and are generally more efficient than the considered classical schemes.
Method of Lines and Finite Difference Schemes with Exact Spectrum for Solving Some Linear Problems of Mathematical Physics
2013
In this paper linear initial-boundary-value problems of mathematical physics with different type boundary conditions BCs and periodic boundary conditions PBCs are studied. The finite difference scheme FDS and the finite difference scheme with exact spectrum FDSES are used for the space discretization. The solution in the time is obtained analytically and numerically, using the method of lines and continuous and discrete Fourier methods.
A generalized finite difference method using Coatmèlec lattices
2009
Generalized finite difference methods require that a properly posed set of nodes exists around each node in the mesh, so that the solution for the corresponding multivariate interpolation problem be unique. In this paper we first show that the construction of these meshes can be computerized using a relatively simple algorithm based on the concept of a Coatmelec lattice. Then, we present a generalized finite difference method which provides a numerical solution of a partial differential equation over an arbitrary domain, using the generated meshes. The accuracy and mesh adaptivity of the method is evaluated using elliptical equations in several domains.
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.
Solution strategies for 1D elastic continuum with long-range interactions: Smooth and fractional decay
2010
Abstract An elastic continuum model with long-range forces is addressed in this study within the context of approximate analytical methods. Such a model stems from a mechanically-based approach to non-local theory where long-range central forces are introduced between non-adjacent volume elements. Specifically, long-range forces depend on the relative displacement, on the volume product between interacting elements and they are proportional to a proper, material-dependent, distance-decaying function. Smooth-decay functions lead to integro-differential governing equations whereas hypersingular, fractional-decay functions lead to a fractional differential governing equation of Marchaud type. …