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

Bertram Düring, Michel Fournié, Ansgar Jüngel (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

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.

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

Florian Mehats (2002)

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

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 scheme, which appears...

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

Florian Mehats (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

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 scheme, which appears...

Convergence of a proposed adaptive WENO scheme for Hamilton-Jacobi equations

Wonho Han, Kwangil Kim, Unhyok Hong (2023)

Applications of Mathematics

We study high-order numerical methods for solving Hamilton-Jacobi equations. Firstly, by introducing new clear concise nonlinear weights and improving their convex combination, we develop WENO schemes of Zhu and Qiu (2017). Secondly, we give an algorithm of constructing a convergent adaptive WENO scheme by applying the simple adaptive step on the proposed WENO scheme, which is based on the introduction of a new singularity indicator. Through detailed numerical experiments on extensive problems including...

Convergence of finite difference schemes for viscous and inviscid conservation laws with rough coefficients

Kenneth Hvistendahl Karlsen, Nils Henrik Risebro (2001)

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

We consider the initial value problem for degenerate viscous and inviscid scalar conservation laws where the flux function depends on the spatial location through a “rough” coefficient function k ( x ) . We show that the Engquist-Osher (and hence all monotone) finite difference approximations converge to the unique entropy solution of the governing equation if, among other demands, k ' is in B V , thereby providing alternative (new) existence proofs for entropy solutions of degenerate convection-diffusion equations...

Convergence of finite difference schemes for viscous and inviscid conservation laws with rough coefficients

Kenneth Hvistendahl Karlsen, Nils Henrik Risebro (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

We consider the initial value problem for degenerate viscous and inviscid scalar conservation laws where the flux function depends on the spatial location through a "rough"coefficient function k(x). We show that the Engquist-Osher (and hence all monotone) finite difference approximations converge to the unique entropy solution of the governing equation if, among other demands, k' is in BV, thereby providing alternative (new) existence proofs for entropy solutions of degenerate convection-diffusion...

Convergence of Fourier spectral method for resonant long-short nonlinear wave interaction

Abdur Rashid, Shakaib Akram (2010)

Applications of Mathematics

In this paper, the evolution equations with nonlinear term describing the resonance interaction between the long wave and the short wave are studied. The semi-discrete and fully discrete Crank-Nicholson Fourier spectral schemes are given. An energy estimation method is used to obtain error estimates for the approximate solutions. The numerical results obtained are compared with exact solution and found to be in good agreement.

Convergence of implicit Finite Volume methods for scalar conservation laws with discontinuous flux function

Sébastien Martin, Julien Vovelle (2008)

ESAIM: Mathematical Modelling and Numerical Analysis

This paper deals with the problem of numerical approximation in the Cauchy-Dirichlet problem for a scalar conservation law with a flux function having finitely many discontinuities. The well-posedness of this problem was proved by Carrillo [J. Evol. Eq. 3 (2003) 687–705]. Classical numerical methods do not allow us to compute a numerical solution (due to the lack of regularity of the flux). Therefore, we propose an implicit Finite Volume method based on an equivalent formulation of the initial...

Convergence of the matrix transformation method for the finite difference approximation of fractional order diffusion problems

Béla J. Szekeres, Ferenc Izsák (2017)

Applications of Mathematics

Numerical solution of fractional order diffusion problems with homogeneous Dirichlet boundary conditions is investigated on a square domain. An appropriate extension is applied to have a well-posed problem on ℝ 2 and the solution on the square is regarded as a localization. For the numerical approximation a finite difference method is applied combined with the matrix transformation method. Here the discrete fractional Laplacian is approximated with a matrix power instead of computing the complicated...

Coupled heat transport and Darcian water flow in freezing soils

Krupička, Lukáš, Štefan, Radek, Beneš, Michal (2013)

Programs and Algorithms of Numerical Mathematics

The model of coupled heat transport and Darcian water flow in unsaturated soils and in conditions of freezing and thawing is analyzed. In this contribution, we present results concerning the existence of the numerical solution. Numerical scheme is based on semi-implicit discretization in time. This work illustrates its performance for a problem of freezing processes in vertical soil columns.

Difference methods for parabolic functional differential problems of the Neumann type

K. Kropielnicka (2007)

Annales Polonici Mathematici

Nonlinear parabolic functional differential equations with initial boundary conditions of the Neumann type are considered. A general class of difference methods for the problem is constructed. Theorems on the convergence of difference schemes and error estimates of approximate solutions are presented. The proof of the stability of the difference functional problem is based on a comparison technique. Nonlinear estimates of the Perron type with respect to the functional variable for given functions...

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