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Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs

Rafael Company, Lucas Jódar, José-Ramón Pintos (2009)

ESAIM: Mathematical Modelling and Numerical Analysis

This paper deals with the numerical solution of nonlinear Black-Scholes equation modeling European vanilla call option pricing under transaction costs. Using an explicit finite difference scheme consistent with the partial differential equation valuation problem, a sufficient condition for the stability of the solution is given in terms of the stepsize discretization variables and the parameter measuring the transaction costs. This stability condition is linked to some properties of the numerical...

Consistent streamline residual-based artificial viscosity stabilization for numerical simulation of incompressible turbulent flow by isogeometric analysis

Bohumír Bastl, Marek Brandner, Kristýna Slabá, Eva Turnerová (2022)

Applications of Mathematics

In this paper, we propose a new stabilization technique for numerical simulation of incompressible turbulent flow by solving Reynolds-averaged Navier-Stokes equations closed by the SST k - ω turbulence model. The stabilization scheme is constructed such that it is consistent in the sense used in the finite element method, artificial diffusion is added only in the direction of convection and it is based on a purely nonlinear approach. We present numerical results obtained by our in-house incompressible...

Constrained optimization: A general tolerance approach

Tomáš Roubíček (1990)

Aplikace matematiky

To overcome the somewhat artificial difficulties in classical optimization theory concerning the existence and stability of minimizers, a new setting of constrained optimization problems (called problems with tolerance) is proposed using given proximity structures to define the neighbourhoods of sets. The infimum and the so-called minimizing filter are then defined by means of level sets created by these neighbourhoods, which also reflects the engineering approach to constrained optimization problems....

Constraint preserving schemes using potential-based fluxes. III. Genuinely multi-dimensional schemes for MHD equations∗∗∗

Siddhartha Mishra, Eitan Tadmor (2012)

ESAIM: Mathematical Modelling and Numerical Analysis

We design efficient numerical schemes for approximating the MHD equations in multi-dimensions. Numerical approximations must be able to deal with the complex wave structure of the MHD equations and the divergence constraint. We propose schemes based on the genuinely multi-dimensional (GMD) framework of [S. Mishra and E. Tadmor, Commun. Comput. Phys. 9 (2010) 688–710; S. Mishra and E. Tadmor, SIAM J. Numer. Anal. 49 (2011) 1023–1045]. The schemes are formulated in terms of vertex-centered potentials....

Constraint preserving schemes using potential-based fluxes. III. Genuinely multi-dimensional schemes for MHD equations∗∗∗

Siddhartha Mishra, Eitan Tadmor (2012)

ESAIM: Mathematical Modelling and Numerical Analysis

We design efficient numerical schemes for approximating the MHD equations in multi-dimensions. Numerical approximations must be able to deal with the complex wave structure of the MHD equations and the divergence constraint. We propose schemes based on the genuinely multi-dimensional (GMD) framework of [S. Mishra and E. Tadmor, Commun. Comput. Phys. 9 (2010) 688–710; S. Mishra and E. Tadmor, SIAM J. Numer. Anal. 49 (2011) 1023–1045]. The schemes are formulated in terms of vertex-centered potentials....

Construction of convergent adaptive weighted essentially non-oscillatory schemes for Hamilton-Jacobi equations on triangular meshes

Kwangil Kim, Unhyok Hong, Kwanhung Ri, Juhyon Yu (2021)

Applications of Mathematics

We propose a method of constructing convergent high order schemes for Hamilton-Jacobi equations on triangular meshes, which is based on combining a high order scheme with a first order monotone scheme. According to this methodology, we construct adaptive schemes of weighted essentially non-oscillatory type on triangular meshes for nonconvex Hamilton-Jacobi equations in which the first order monotone approximations are occasionally applied near singular points of the solution (discontinuities of...

Construction of explicit and generalized Runge-Kutta formulas of arbitrary order with rational parameters

Anton Huťa, Karl Strehmel (1982)

Aplikace matematiky

In the article containing the algorithm of explicit generalized Runge-Kutta formulas of arbitrary order with rational parameters two problems occuring in the solution of ordinary differential equaitions are investigated, namely the determination of rational coefficients and the derivation of the adaptive Runge-Kutta method. By introducing suitable substitutions into the nonlinear system of condition equations one obtains a system of linear equations, which has rational roots. The introduction of...

Construction of fluxes at junctions for the numerical solution of traffic flow models on networks

Vacek, Lukáš, Kučera, Václav (2021)

Programs and Algorithms of Numerical Mathematics

We deal with the simulation of traffic flow on networks. On individual roads we use standard macroscopic traffic models. The discontinuous Galerkin method in space and explicit Euler method in time is used for the numerical solution. We apply limiters to keep the density in an admissible interval as well as prevent spurious oscillations in the numerical solution. To solve traffic networks, we construct suitable numerical fluxes at junctions. Numerical experiments are presented.

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