Displaying similar documents to “Approximation of initial and boundary value problems for quasilinear first order equations”

A hybrid scheme to compute contact discontinuities in one-dimensional Euler systems

Thierry Gallouët, Jean-Marc Hérard, Nicolas Seguin (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

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The present paper is devoted to the computation of single phase or two phase flows using the single-fluid approach. Governing equations rely on Euler equations which may be supplemented by conservation laws for mass species. Emphasis is given on numerical modelling with help of Godunov scheme or an approximate form of Godunov scheme called VFRoe-ncv based on velocity and pressure variables. Three distinct classes of closure laws to express the internal energy in terms of pressure,...

Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation

Bertram Düring, Michel Fournié, Ansgar Jüngel (2004)

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

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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. ...

An analysis of the influence of data extrema on some first and second order central approximations of hyperbolic conservation laws

Michael Breuss (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

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We discuss the occurrence of oscillations when using central schemes of the Lax-Friedrichs type (LFt), Rusanov's method and the staggered and non-staggered second order Nessyahu-Tadmor (NT) schemes. Although these schemes are monotone or TVD, respectively, oscillations may be introduced at local data extrema. The dependence of oscillatory properties on the numerical viscosity coefficient is investigated rigorously for the LFt schemes, illuminating also the properties of Rusanov's...