Displaying similar documents to “Convergence of a numerical scheme for a nonlinear oblique derivative boundary value problem”

Convergence of a numerical scheme for a nonlinear oblique derivative boundary value problem

Florian Mehats (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

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We present here a discretization of a nonlinear oblique derivative boundary value problem for the heat equation in dimension two. This finite difference scheme takes advantages of the structure of the boundary condition, which can be reinterpreted as a Burgers equation in the space variables. This enables to obtain an energy estimate and to prove the convergence of the scheme. We also provide some numerical simulations of this problem and a numerical study of the stability of the...

Convergence and stability of a discontinuous Galerkin time-domain method for the 3D heterogeneous Maxwell equations on unstructured meshes

Loula Fezoui, Stéphane Lanteri, Stéphanie Lohrengel, Serge Piperno (2005)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

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A Discontinuous Galerkin method is used for to the numerical solution of the time-domain Maxwell equations on unstructured meshes. The method relies on the choice of local basis functions, a centered mean approximation for the surface integrals and a second-order leap-frog scheme for advancing in time. The method is proved to be stable for cases with either metallic or absorbing boundary conditions, for a large class of basis functions. A discrete analog of the electromagnetic energy...

Stability and convergence of two discrete schemes for a degenerate solutal non-isothermal phase-field model

Francisco Guillén-González, Juan Vicente Gutiérrez-Santacreu (2009)

ESAIM: Mathematical Modelling and Numerical Analysis

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We analyze two numerical schemes of Euler type in time and finite-element type with ℙ 1 -approximation in space for solving a phase-field model of a binary alloy with thermal properties. This model is written as a highly non-linear parabolic system with three unknowns: phase-field, solute concentration and temperature, where the diffusion for the temperature and solute concentration may degenerate. The first scheme is nonlinear, unconditionally stable and convergent....

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

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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...