求解非线性Black-Scholes模型的自适应小波精细积分法

针对非线性Black-Scholes方程,基于quasi-Shannon小波函数给出了一种求解非线性偏微分方程的自适应多尺度小波精细积分法.该方法首先利用插值小波理论构造了用于逼近连续函数的多尺度小波插值算子,利用该算子可以将非线性Black-Scholes方程自适应离散为非线性常微分方程组;然后将用于求解常微分方程组的精细积分法和小波变换的动态过程相结合,并利用非线性处理技术(如同伦分析技术)可有效求解非线性Black-Scholes方程.数值结果表明了该方法在数值精度和计算效率方面的优越性.     

A numerical method for the Cahn–Hilliard equation with a variable mobility

We consider a conservative nonlinear multigrid method for the Cahn–Hilliard equation with a variable mobility of a model for phase separation in a binary mixture. The method uses the standard finite difference approximation in spatial discretization and the Crank–Nicholson semi-implicit scheme in temporal discretization. And the resulting discretized equations are solved by an efficient nonlinear multigrid method. The continuous problem has the conservation of mass and the decrease of the total energy. It is proved that these properties hold for the discrete problem. Also, we show the proposed scheme has a second-order convergence in space and time numerically. For numerical experiments, we investigate the effects of a variable mobility.     

Nonlinear multigrid method for solving the anisotropic image denoising models

In this paper, we study a nonlinear multigrid method for solving a general image denoising model with two L ¹-regularization terms. Different from the previous studies, we give a simpler derivation of the dual formulation of the general model by augmented Lagrangian method. In order to improve the convergence rate of the proposed multigrid method, an improved dual iteration is proposed as its smoother. Furthermore, we apply the proposed method to the anisotropic ROF model and the anisotropic LLT model. We also give the local Fourier analysis (LFAs) of the Chambolle’s dual iterations and a modified smoother for solving these two models, respectively. Numerical results illustrate the efficiency of the proposed method and indicate that such a multigrid method is more suitable to deal with large-sized images.     

Generalized Extended Tanh-Function Method for Traveling Wave Solutions of Nonlinear Physical Equations

In this paper, the generalized extended tanh-function method is used for constructing the traveling wave solutions of nonlinear evolution equations. We choose Fisher's equation, the nonlinear schrödinger equation to illustrate the validity and advantages of the method. Many new and more general traveling wave solutions are obtained. Furthermore, this method can also be applied to other nonlinear equations in physics.     

Multigrid method for coupled semilinear elliptic equation

This paper introduces a kind of multigrid finite element method for the coupled semilinear elliptic equations. Instead of the common way of directly solving the coupled semilinear elliptic problems on some fine spaces, the presented method transforms the solution of the coupled semilinear elliptic problem into a series of solutions of the corresponding decoupled linear boundary value problems on the sequence of multilevel finite element spaces and some coupled semilinear elliptic problems on a very low dimensional space. The decoupled linearized boundary value problems can be solved by some multigrid iterations efficiently. The optimal error estimate and optimal computational work are proved theoretically and demonstrated numerically. Moreover, the requirement of bounded second‐order derivatives of the nonlinear term in the existing multigrid method is reduced to a Lipschitz continuous condition in the proposed method.     

A multigrid compact finite difference method for solving the one‐dimensional nonlinear sine‐Gordon equation

The aim of this paper is to propose a multigrid method to obtain the numerical solution of the one‐dimensional nonlinear sine‐Gordon equation. The finite difference equations at all interior grid points form a large sparse linear system, which needs to be solved efficiently. The solution cost of this sparse linear system usually dominates the total cost of solving the discretized partial differential equation. The proposed method is based on applying a compact finite difference scheme of fourth‐order for discretizing the spatial derivative and the standard second‐order central finite difference method for the time derivative. The proposed method uses the Richardson extrapolation method in time variable. The obtained system has been solved by V‐cycle multigrid (VMG) method, where the VMG method is used for solving the large sparse linear systems. The numerical examples show the efficiency of this algorithm for solving the one‐dimensional sine‐Gordon equation. Copyright © 2014 John Wiley & Sons, Ltd.     

The Riccati Equation Method Combined with the Generalized Extended $(G''/G)$-Expansion Method for Solving the Nonlinear KPP Equation

An analytic study of the nonlinear Kolmogorov-Petrovskii-Piskunov (KPP) equation is presented in this paper. The Riccati equation method combined with the generalized extended $(G''/G)$-expansion method is an interesting approach to find more general exact solutions of the nonlinear evolution equations in mathematical physics. We obtain the traveling wave solutions involving parameters, which are expressed by the hyperbolic and trigonometric function solutions. When the parameters are taken as special values, the solitary and periodic wave solutions are given. Comparison of our new results in this paper with the well-known results are given.     

多重网格法和自适应算法的组合及其对非线性Schrdinger方程的应用

在解非线性的进化型偏微分方程时,为了数值计算的稳定性常常采用无条件稳定的隐式差分格式.这样会引起两个问题:一是要解线性甚至非线性的代数方程组,这是费时间的;另一是在解代数方程组时,迭代法的收敛性依赖于时间步长,特别是非线性迭代的收敛性会对时间步长加以严格的限制.     

A multigrid preconditioner for an adaptive Black-Scholes solver

This paper is concerned with the efficient solution of the linear systems of equations that arise from an adaptive space-implicit time discretisation of the Black-Scholes equation. These nonsymmetric systems are very large and sparse, so an iterative method will usually be the method of choice. However, such a method may require a large number of iterations to converge, particularly when the timestep used is large (which is often the case towards the end of a simulation which uses adaptive timestepping). An appropriate preconditioner is therefore desirable. In this paper we show that a very simple multigrid algorithm with standard components works well as a preconditioner for these problems. We analyse the eigenvalue spectrum of the multigrid iteration matrix for uniform grid problems and illustrate the method’s efficiency in practice by considering the results of numerical experiments on both uniform grids and those which use adaptivity in space.     

A multigrid method for the Cahn-Hilliard equation with obstacle potential

We present a multigrid finite element method for the deep quench obstacle Cahn-Hilliard equation. The non-smooth nature of this highly nonlinear fourth order partial differential equation make this problem particularly challenging. The method exhibits mesh-independent convergence properties in practice for arbitrary time step sizes. In addition, numerical evidence shows that this behaviour extends to small values of the interfacial parameter γ. Several numerical examples are given, including comparisons with existing alternative solution methods for the Cahn-Hilliard equation.     

Solutions to a stationary nonlinear Black-Scholes type equation

We study by topological methods a nonlinear differential equation generalizing the Black-Scholes formula for an option pricing model with stochastic volatility. We prove the existence of at least a solution of the stationary Dirichlet problem applying an upper and lower solutions method. Moreover, we construct a solution by an iterative procedure.     

Nonlinear impulsive Langevin equation with mixed derivatives

In this paper, we consider a nonlocal boundary value problem of nonlinear impulsive Langevin equation with mixed derivatives. Some sufficient conditions are constructed to observe the existence, uniqueness, and generalized Ulam-Hyers-Rassias stability of our proposed model, with the help of Diaz-Margolis' fixed-point approach over generalized complete metric space. We give an example that supports our main result.     

一类非线性波动方程古典解的存在性

研究了一类非线性波动方程的初边值问题,利用Faedo-Galerkin方法,证明了该初值问题古典解的存在性.     

Partition of Unity for a Class of Nonlinear Parabolic Equation on Overlapping Non-Matching Grids

A class of nonlinear parabolic equation on a polygonal domain Ω  R2 is inves- tigated in this paper. We introduce a finite element method on overlapping non-matching grids for the nonlinear parabolic equation based on the partition of unity method. We give the construction and convergence analysis for the semi-discrete and the fully discrete finite element methods. Moreover, we prove that the error of the discrete variational problem has good approximation properties. Our results are valid for any spatial dimensions. A numerical example to illustrate the theoretical results is also given.     

A Simulation-free Nonlinear Model Order-reduction Approach and Comparison Study

In this paper, a new approach to the model order reduction of nonlinear systems is presented. This approach does not need a simulation of the original system, and therefore, it is suitable for large systems. By separating the linear and nonlinear parts of the original nonlinear model, the idea is to consider the nonlinearities of the resulting system as additional inputs. Based on the linear system from the last step, a known order-reduction method can be applied to find the coefficients of the nonlinear and the linear parts of a reduced-order model. Two different methods from linear-order reduction (balancing and truncation and Eitelberg's method with some modification) are used for this purpose, and their advantages and disadvantages are discussed. For comparison with some known methods in order reduction of nonlinear systems, three other methods are discussed briefly. Finally, a technical nonlinear system is reduced, and different methods are compared.     

On the Accuracy of the Galerkin Method for a Nonlinear Dynamic Beam Equation

The paper deals with the boundary value problem for a nonlinear integro‐differential equation modeling the dynamic state of the Timoshenko beam. To approximate the solution with respect to a spatial variable, the Galerkin method is used, the error of which is estimated. Copyright © 2011 John Wiley & Sons, Ltd.     

分形布朗运动下有交易成本的外汇期权定价

研究了有交易成本的分形Black-Scholes外汇期权定价问题.基于汇率的分形布朗运动分布假设,运用分形布朗运动的性质和随机微积分方法,得到了欧式外汇期权价格所满足的偏微分方程.最后,建立离散时间条件下的非线性期权定价模型,并且通过解期权价格的偏微分方程给出了有交易成本的欧式外汇期权定价公式.     

Newton-Multigrid for Biological Reaction-Diffusion Problems with Random Coefficients

An algebraic Newton-multigrid method is proposed in order to efficiently solve systems of nonlinear reaction-diffusion problems with stochastic coefficients. These problems model the conversion of starch into sugars in growing apples. The stochastic system is first converted into a large coupled system of deterministic equations by applying a stochastic Galerkin finite element discretization. This method leads to high-order accurate stochastic solutions. A stable and high-order time discretization is obtained by applying a fully implicit Runge-Kutta method. After Newton linearization, a point-based algebraic multigrid solution method is applied. In order to decrease the computational cost, alternative multigrid preconditioners are presented. Numerical results demonstrate the convergence properties, robustness and efficiency of the proposed multigrid methods.     

非线性演化方程的孤立波解

用齐次平衡原则和辅助微分方程方法得到了6个重要的n次非线性演化方程的孤立波解.辅助微分方程方法的主要思想是借助简单的可解微分方程的解去构造复杂的非线性演化方程的行进波解.这里简单的可解微分方程称为辅助微分方程.本文使用的辅助方程有双曲正割幂型解或双曲正切幂型解.     

Approximations of the nonlinear Volterra's population model by an efficient numerical method

In this paper, we apply the new homotopy perturbation method to solve the Volterra's model for population growth of a species in a closed system. This technique is extended to give solution for nonlinear integro‐differential equation in which the integral term represents the total metabolism accumulated fromtime zero. The approximate analytical procedure only depends on two components. The newhomotopy perturbationmethodwas applied to nonlinear integro‐differential equations directly and by converting the problem into nonlinear ordinary differential equation. We also compare this method with some other numerical results and show that the present approach is less computational and is applicable for solving nonlinear integro‐differential equations and ordinary differential equations as well. Copyright © 2011 John Wiley & Sons, Ltd.