Search results for "Matrix difference equation"
showing 3 items of 3 documents
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.
Construction of a fundamental set of solutions of an arbitrary homogeneous linear difference equation
2002
Abstract The detailed construction of a prefixed fundamental set of solutions of a linear homogeneous difference equation of any order with arbitrarily variable coefficients is reported. The usefulness of the resulting resolutive formula is illustrated by simple applications to the Hermite polynomials and to the Fibonacci sequence.
Improvement of matrix solutions of generalized nonlinear wave equation
2005
Four classes of nonlinear wave equations are joined in one generalized nonlinear wave equation. A theorem is proved that the whole series of matrix functions satisfy the generalized wave equation. A justification of rotational properties of matrix solutions is given and a mathematical model of the ring vortex around the acute edge is proposed using of matrix solutions.