柯特斯校正公式及其误差估计

提出了一类计算定积分的高精度柯特斯校正公式,通过两种方法进行了推导,给出了它的复化公式及其加速公式,并得到了它们的误差估计和收敛阶.数值实验验证了复化柯特斯校正公式及其加速公式的高效性.     

带漂移的单侧正规化回火分数阶扩散方程的Crank-Nicolson拟紧格式

基于已有的针对单侧正规化回火分数阶扩散方程的三阶拟紧算法,将该算法的思想应用于带漂移的单侧正规化回火分数阶扩散方程的数值模拟,并结合Crank-Nicolson方法导出数值格式.证明了数值格式的稳定性与收敛性,且数值格式的时间收敛阶和空间收敛阶分别是二阶和三阶.通过数值试验验证了数值格式的有效性和理论结果.     

分数阶波方程的数值解法

首先,把分数阶波方程转换成等价的积分-微分方程;然后,利用带权的分数阶矩形公式和紧差分算子分别对时间和空间方向进行离散.证明了当权重为1/2时,时间方向的收敛阶为α,其中α(1α2)为Caputo导数的阶数.利用Gronwall不等式,证明了数值格式的收敛性和稳定性.数值例子进一步表明了数值格式的有效性.     

时间分数阶期权定价模型的一类有效差分方法

时间分数阶期权定价模型(时间分数阶Black-Scholes方程)数值解法的研究具有重要的理论意义和实际应用价值.对时间分数阶Black-Scholes方程构造了显-隐格式和隐-显差分格式,讨论了两类格式解的存在唯一性,稳定性和收敛性.理论分析证实,显-隐格式和隐-显格式均为无条件稳定和收敛的,两种格式具有相同的计算量.数值试验表明:显-隐和隐-显格式的计算精度与经典Crank-Nicolson(C-N)格式的计算精度相当,其计算效率(计算时间)比C-N格式提高30%.数值试验验证了理论分析,表明本文的显-隐和隐-显差分方法对求解时间分数阶期权定价模型是高效的,证实了时间分数阶Black-Scholes方程更符合实际金融市场.     

二维土壤溶质输运方程基于POD方法的降阶CN有限元外推算法

首先给出二维土壤溶质输运方程时间二阶精度的Crank-Nicolson(CN)时间半离散化格式和时间二阶精度的全离散化CN有限元格式及其误差分析.然后利用特征投影分解(proper orthogonal decomposition,简记为POD)方法对二维土壤溶质输运方程的经典CN有限元格式做降阶处理,建立一种具有足够高精度、自由度很少的降阶CN有限元外推格式,并给出这种降阶CN有限元解的误差估计和外推算法的实现.最后用数值例子说明数值结果与理论结果是相吻合的.     

Simpson校正公式

给出了Simpson校正公式的截断误差,分析了复化Simpson校正公式的收敛阶.数值算例验证了理论分析的正确性.     

带初始奇异性的多项时间分数阶扩散方程一类全离散数值方法的误差分析

本文研究了带有初始奇异性的多项时间分数阶扩散方程的一种全离散数值方法.首先,基于L1公式在渐变网格下离散多项Caputo时间分数阶导数,构造了多项时间分数阶扩散方程的时间半离散格式,证明了时间格式通过选取合适的网格参数r,时间方向的误差可以达到最优的收敛阶2-α_1,其中α_1(0 α_11)为多项时间分数阶导数阶数的最大值.然后,空间采用谱方法进行离散,得到了全离散格式,证明了全离散格式的无条件稳定性和收敛性.为了降低计算量和储存量,对多项时间分数阶扩散方程又构造了时间方向的快速算法,同时证明了该格式的收敛性.数值算例验证了算法的有效性,显示了快速算法的高效性.     

非光滑时间分数阶齐次扩散方程的修正

当初值不光滑时,时间分数阶齐次扩散方程数值方法的精度会下降.为了得到高阶时间收敛格式,提出加权移位的Grünwald-Letnikov的修正格式,运用Lubich的修正方法,得到非光滑时间分数阶齐次扩散方程的收敛阶仍为O(k²).最后,通过数值算例验证了数值计算结果与理论计算结果一致.     

一类分数阶Langevin方程block-by-block算法的数值分析

分数阶Langevin方程有重要的科学意义和工程应用价值，基于经典block-by-block算法，求解了一类含有Caputo导数的分数阶Langevin方程的数值解.Block-by-block算法通过引入二次Lagrange基函数插值，构造出逐块收敛的非线性方程组，通过在每一块耦合求得分数阶Langevin方程的数值解.在0<α<1条件下，应用随机Taylor展开证明block-by-block算法是3+α阶收敛的，数值试验表明在不同α和时间步长h取值下，block-by-block算法具有稳定性和收敛性，克服了现有方法求解分数阶Langevin方程速度慢精度低的缺点，表明block-by-block算法求解分数阶Langevin方程是高效的.     

跳跃扩散下双障碍期权定价的数值解

提出了一种求解带有跳跃的双障碍期权定价模型的数值方法.算法采用了Crank-Nicolson 有限差分格式和复化梯形公式对模型进行离散,对离散后的线性系统采用GMRES迭代法求解,并且构造了一个新的预处理算子以加速迭代法的收敛.数值实验验证了该方法能快速求解模型并达到二阶收敛精度.     

Differential quadrature solutions of eighth-order boundary-value differential equations

Special cases of linear eighth-order boundary-value problems have been solved using polynomial splines. However, divergent results were obtained at points adjacent to boundary points. This paper presents an accurate and general approach to solve this class of problems, utilizing the generalized differential quadrature rule (GDQR) proposed recently by the authors. Explicit weighting coefficients are formulated to implement the GDQR for eighth-order differential equations. A mathematically important by-product of this paper is that a new kind of Hermite interpolation functions is derived explicitly for the first time. Linear and non-linear illustrations are given to show the practical usefulness of the approach developed. Using Frechet derivatives, non-linear eighth-order problems are also solved for the first time. Numerical results obtained using even only seven sampling points are of excellent accuracy and convergence in an entire domain. The present GDQR has shown clear advantages over the existing methods and demonstrated itself as a general, stable, and accurate numerical method to solve high-order differential equations.     

Alternating direction implicit OSC scheme for the two-dimensional fractional evolution equation with a weakly singular kernel

In this paper, a new kind of alternating direction implicit (ADI) Crank-Nicolson-type orthogonal spline collocation (OSC) method is formulated for the two-dimensional fractional evolution equation with a weakly singular kernel arising in the theory of linear viscoelasticity. The novel OSC method is used for the spatial discretization, and ADI Crank-Nicolson-type method combined with the second order fractional quadrature rule are considered for the temporal component. The stability of proposed scheme is rigourously established, and nearly optimal order error estimate is also derived. Numerical experiments are conducted to support the predicted convergence rates and also exhibit expected super-convergence phenomena.     

On shifted Jacobi spectral method for high-order multi-point boundary value problems

This paper reports a spectral tau method for numerically solving multi-point boundary value problems (BVPs) of linear high-order ordinary differential equations. The construction of the shifted Jacobi tau approximation is based on conventional differentiation. This use of differentiation allows the imposition of the governing equation at the whole set of grid points and the straight forward implementation of multiple boundary conditions. Extension of the tau method for high-order multi-point BVPs with variable coefficients is treated using the shifted Jacobi Gauss–Lobatto quadrature. Shifted Jacobi collocation method is developed for solving nonlinear high-order multi-point BVPs. The performance of the proposed methods is investigated by considering several examples. Accurate results and high convergence rates are achieved.     

High-order computational methods for option valuation under multifactor models

Many of the different numerical techniques in the partial differential equations framework for solving option pricing problems have employed only standard second-order discretization schemes. A higher-order discretization has the advantage of producing low size matrix systems for computing sufficiently accurate option prices and this paper proposes new computational schemes yielding high-order convergence rates for the solution of multi-factor option problems. These new schemes employ Galerkin finite element discretizations with quadratic basis functions for the approximation of the spatial derivatives in the pricing equations for stochastic volatility and two-asset option problems and time integration of the resulting semi-discrete systems requires the computation of a single matrix exponential. The computations indicate that this combination of high-order finite elements and exponential time integration leads to efficient algorithms for multi-factor problems. Highly accurate European prices are obtained with relatively coarse meshes and high-order convergence rates are also observed for options with the American early exercise feature. Various numerical examples are provided for illustrating the accuracy of the option prices for Heston’s and Bates stochastic volatility models and for two-asset problems under Merton’s jump-diffusion model.     

Novel weak form quadrature element method with expanded Chebyshev nodes

Based on the principle of minimum potential energy and the differential quadrature rule, novel weak form quadrature element method is proposed. Different from the existing ones, expanded Chebyshev grid points are used as the element nodes. A simple but general way is proposed to compute the strains at the integration points explicitly by using the differential quadrature rule. For illustration and verification, quadrature bar and beam elements are established. Several examples are given. Numerical results indicate that the proposed quadrature element method allows a longer time step as compared to elements with other nodes and is an accurate and efficient method for structural analysis.     

Recent advances in Krylov subspace spectral methods

This paper reviews the main properties, and most recent developments, of Krylov subspace spectral (KSS) methods for time-dependent variable-coefficient PDE. These methods use techniques developed by Golub and Meurant for approximating elements of functions of matrices by Gaussian quadrature in the spectral domain in order to achieve high-order accuracy in time and stability characteristic of implicit time-stepping schemes, even though KSS methods themselves are explicit. In fact, for certain problems, 1-node KSS methods are unconditionally stable. Furthermore, these methods are equivalent to high-order operator splittings, thus offering another perspective for further analysis and enhancement. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Fourth-order alternating direction implicit compact finite difference schemes for two-dimensional Schrödinger equations

In this paper, alternating direction implicit compact finite difference schemes are devised for the numerical solution of two-dimensional Schrödinger equations. The convergence rates of the present schemes are of order O(h⁴+τ²). Numerical experiments show that these schemes preserve the conservation laws of charge and energy and achieve the expected convergence rates. Representative simulations show that the proposed schemes are applicable to problems of engineering interest and competitive when compared to other existing procedures.     

Linear barycentric rational quadrature

Linear interpolation schemes very naturally lead to quadrature rules. Introduced in the eighties, linear barycentric rational interpolation has recently experienced a boost with the presentation of new weights by Floater and Hormann. The corresponding interpolants converge in principle with arbitrary high order of precision. In the present paper we employ them to construct two linear rational quadrature rules. The weights of the first are obtained through the direct numerical integration of the Lagrange fundamental rational functions; the other rule, based on the solution of a simple boundary value problem, yields an approximation of an antiderivative of the integrand. The convergence order in the first case is shown to be one unit larger than that of the interpolation, under some restrictions. We demonstrate the efficiency of both approaches with numerical tests.     

The modified quadrature method for classical pseudodifferential equations of negative order on smooth closed curves

In this article we present and analyze the modified quadrature method for strongly elliptic boundary integral equations of negative order on smooth closed curves. The method employs a modification that extracts the singularity appearing in the kernel or in some of its derivatives. Moreover, the composite trapezoidal rule is used for approximation of the integral. The modified quadrature method is proved to have the maximal rate O(h^−β+1) of convergence for operators of order β < 0 in general, and O(h^−β+2) for a large class of operators appearing in applications. Some numerical experiments confirming our theoretical results are also presented.     

An unstructured mesh finite element method for solving the multi-term time fractional and Riesz space distributed-order wave equation on an irregular convex domain

In this paper, the numerical analysis for a multi-term time fracstional and Riesz space distributed-order wave equation is discussed on an irregular convex domain. Firstly, the equation is transformed into a multi-term time-space fractional wave equation using the mid-point quadrature rule to approximate the distributed-order Riesz space derivative. Next, the equation is solved by discretising in time using a Crank–Nicolson scheme and in space using the finite element method (FEM) with an unstructured mesh, respectively. Furthermore, stability and convergence are investigated by introducing some important lemmas on irregular convex domain. Finally, some examples are provided to show the effectiveness and correctness of the proposed numerical method.