-error estimates of the extrapolated Crank-Nicolson discontinuous Galerkin approximations for nonlinear Sobolev equations.
Lagrangian approach to deriving energy-preserving numerical schemes for the Euler–Lagrange partial differential equations
We propose a Lagrangian approach to deriving energy-preserving finite difference schemes for the Euler–Lagrange partial differential equations. Noether’s theorem states that the symmetry of time translation of Lagrangians yields the energy conservation law. We introduce a unique viewpoint on this theorem: “the symmetry of time translation of Lagrangians derives the Euler–Lagrange equation and the energy conservation law, simultaneously.” The proposed method is a combination of a discrete counter...
Local one-dimensional scheme for the third boundary value problem for the heat equation.
Local preconditioners for steady and unsteady flow applications
Preconditioners for hyperbolic systems are numerical artifacts to accelerate the convergence to a steady state. In addition, the preconditioner should also be included in the artificial viscosity or upwinding terms to improve the accuracy of the steady state solution. For time dependent problems we use a dual time stepping approach. The preconditioner affects the convergence rate and the accuracy of the subiterations within each physical time step. We consider two types of local preconditioners:...
Local preconditioners for steady and unsteady flow applications
Preconditioners for hyperbolic systems are numerical artifacts to accelerate the convergence to a steady state. In addition, the preconditioner should also be included in the artificial viscosity or upwinding terms to improve the accuracy of the steady state solution. For time dependent problems we use a dual time stepping approach. The preconditioner affects the convergence rate and the accuracy of the subiterations within each physical time step. We consider two types of local preconditioners: Jacobi...
Low Volatility Options and Numerical Diffusion of Finite Difference Schemes
2000 Mathematics Subject Classification: 65M06, 65M12.In this paper we explore the numerical diffusion introduced by two nonstandard finite difference schemes applied to the Black-Scholes partial differential equation for pricing discontinuous payoff and low volatility options. Discontinuities in the initial conditions require applying nonstandard non-oscillating finite difference schemes such as the exponentially fitted finite difference schemes suggested by D. Duffy and the Crank-Nicolson variant...