This paper deals with the construction of numerical solution of the Black-Scholes (B-S) type equation modeling option pricing with variable yield discrete dividend payment at time $t_d$. Firstly the shifted delta generalized function $\delta (t-t_d)$ appearing in the B-S equation is approximated by an appropriate sequence of nice ordinary functions. Then a semidiscretization technique applied on the underlying asset is used to construct a numerical solution. The limit of this numerical solution is independent of the...

We consider the numerical solution of diffusion problems in $(0,T)\times \Omega$ for $\Omega \subset {ℝ}^d$ and for $T\>0$ in dimension $d\ge 1$. We use a wavelet based sparse grid space discretization with mesh-width $h$ and order $p\ge 1$, and $hp$ discontinuous Galerkin time-discretization of order $r=O\left(\left|logh\right|\right)$ on a geometric sequence of $O\left(\left|logh\right|\right)$ many time steps. The linear systems in each time step are solved iteratively by $O\left(\left|logh\right|\right)$ GMRES iterations with a wavelet preconditioner. We prove that this algorithm gives an $L^2\left(\Omega \right)$-error of $O\left(N^{-p}\right)$ for $u(x,T)$ where $N$ is the total number of operations,...

We consider the numerical solution of diffusion problems in (0,T) x Ω for $\Omega \subset {ℝ}^d$ and for T > 0 in dimension dd ≥ 1. We use a wavelet based sparse grid space discretization with mesh-width h and order pd ≥ 1, and hp discontinuous Galerkin time-discretization of order $r=O\left(\left|logh\right|\right)$ on a geometric sequence of $O\left(\left|logh\right|\right)$ many time steps. The linear systems in each time step are solved iteratively by $O\left(\left|logh\right|\right)$ GMRES iterations with a wavelet preconditioner. We prove that this algorithm gives an L2(Ω)-error of O(N-p) for u(x,T)...

This work is devoted to the study of migraine with aura in the human brain. Following [6], we class migraine as a propagation of a wave of depolarization through the cells. The mathematical model used, based on a reaction-diffusion equation, is briefly presented. The equation is considered in a duct containing a bend, in order to model one of the numerous circumvolutions of the brain. For a wide set of parameters, one can establish the existence...

In this paper, we consider the blow-up solutions for a quasilinear parabolic partial differential equation $u_t=u^2(u_{xx}+u)$. We numerically investigate the blow-up rates of these solutions by using a numerical method which is recently proposed by the authors [3].