Search results for "partial differential equation"
showing 10 items of 326 documents
An iterative method for pricing American options under jump-diffusion models
2011
We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration to solve the LCPs efficiently and prove its convergence. Numerical examples with Kou@?s and Merton@?s jump-diffusion models show that the resulting iteration converges rapidly.
Implicit analytic solutions for a nonlinear fractional partial differential beam equation
2020
Abstract Analytic solutions in implicit form are derived for a nonlinear partial differential equation (PDE) with fractional derivative elements, which can model the dynamics of a deterministically excited Euler-Bernoulli beam resting on a viscoelastic foundation. Specifically, the initial-boundary value problem for the corresponding PDE is reduced to an initial value problem for a nonlinear ordinary differential equation in a Hilbert space. Next, by employing the cosine and sine families of operators, a variation of parameters representation of the solution map is introduced. Due to the presence of a nonlinear term, a local fixed point theorem is employed to prove the local existence and u…
Order optimal preconditioners for fully implicit Runge-Kutta schemes applied to the bidomain equations
2010
The partial differential equation part of the bidomain equations is discretized in time with fully implicit Runge–Kutta methods, and the resulting block systems are preconditioned with a block diagonal preconditioner. By studying the time-stepping operator in the proper Sobolev spaces, we show that the preconditioned systems have bounded condition numbers given that the Runge–Kutta scheme is A-stable and irreducible with an invertible coefficient matrix. A new proof of order optimality of the preconditioners for the one-leg discretization in time of the bidomain equations is also presented. The theoretical results are verified by numerical experiments. Additionally, the concept of weakly po…
Controllability method for the Helmholtz equation with higher-order discretizations
2007
We consider a controllability technique for the numerical solution of the Helmholtz equation. The original time-harmonic equation is represented as an exact controllability problem for the time-dependent wave equation. This problem is then formulated as a least-squares optimization problem, which is solved by the conjugate gradient method. Such an approach was first suggested and developed in the 1990s by French researchers and we introduce some improvements to its practical realization. We use higher-order spectral elements for spatial discretization, which leads to high accuracy and lumped mass matrices. Higher-order approximation reduces the pollution effect associated with finite elemen…
Partial differential equations governed by accretive operators
2012
The theory of nonlinear semigroups in Banach spaces generated by accretive operators has been very useful in the study of many nonlinear partial differential equations Such a theory is fundamentally based in the Crandall-Liggett Theorem and in the contributions of Ph. Benilan. In this paper, after outlining some of the main points of this theory, we present some of the applications to some nonlinear partial differential equations that appear in different fields of Science.
Numerical Investigations of an Implicit Leapfrog Time-Domain Meshless Method
2014
Numerical solution of partial differential equations governing time domain simulations in computational electromagnetics, is usually based on grid methods in space and on explicit schemes in time. A predefined grid in the problem domain and a stability step size restriction need. Recently, the authors have reformulated the meshless framework based on smoothed particle hydrodynamics, in order to be applied for time domain electromagnetic simulation. Despite the good spatial properties, the numerical explicit time integration introduces, also in a meshless context, a severe constraint. In this paper, at first, the stability condition is addressed in a general way by allowing the time step inc…
Exponential convergence andH-c multiquadric collocation method for partial differential equations
2003
The radial basis function (RBF) collocation method uses global shape functions to interpolate and collocatethe approximate solution of PDEs. It is a truly meshless method as compared to some of the so-calledmeshless or element-free finite element methods. For the multiquadric and Gaussian RBFs, there are twoways to make the solution converge—either by refining the mesh size
Oscillation results for second-order nonlinear neutral differential equations
2013
Published version of an article in the journal: Advances in Difference Equations. Also available from the publisher at: http://dx.doi.org/10.1186/1687-1847-2013-336 Open Access We obtain several oscillation criteria for a class of second-order nonlinear neutral differential equations. New theorems extend a number of related results reported in the literature and can be used in cases where known theorems fail to apply. Two illustrative examples are provided.
Analysis of a Parabolic Cross-Diffusion Semiconductor Model with Electron-Hole Scattering
2007
The global-in-time existence of non-negative solutions to a parabolic strongly coupled system with mixed Dirichlet–Neumann boundary conditions is shown. The system describes the time evolution of the electron and hole densities in a semiconductor when electron-hole scattering is taken into account. The parabolic equations are coupled to the Poisson equation for the electrostatic potential. Written in the quasi-Fermi potential variables, the diffusion matrix of the parabolic system contains strong cross-diffusion terms and is only positive semi-definite such that the problem is formally of degenerate type. The existence proof is based on the study of a fully discretized version of the system…
On One Identification Problem in Linear Elasticity
1990
In practice we meet problems, when having the solution of partial differential equation, we want to discover parts in the domain of its definition where the solution has some specific properties. In [1] and [2] the problem of identification of a curve φ, lying inside of Ω such that the flux \(\int{_{\varphi }}\frac{\partial u}{\partial n}ds\) is maximal has been studied, where u is the solution of mixed—boundary value problem for Laplacian operator.