Compact finite difference schemes of the time fractional Black-Scholes model

In this paper, three compact difference schemes for the time-fractional Black-Scholes model governing European option pricing are presented. Firstly, in order to obtain the fourth-order accuracy in space by applying the Pad\''{e} approximation, we eliminate the convection term of the B-S equation by an exponential transformation. Then the time fractional derivative is approximated by $L1$ formula, $L2 - 1_\sigma$ formula and $L1 - 2$ formula respectively, and three compact difference schemes with oders $O(\Delta t^{2-\alpha}+h ^4)$, $O(\Delta t^{2}+h ^4)$ and $O(\Delta t^{3-\alpha}+h ^4)$ are constructed. Finally, numerical example is carried out to verify the accuracy and effectiveness of proposed methods, and the comparisons of various schemes are given. The paper also provides numerical studies including the effect of fractional orders and the effect of different parameters on option price in time-fractional B-S model.     

A spatially second-order accurate implicit numerical method for the space and time fractional Bloch-Torrey equation

In recent years, it has been found that many phenomena in engineering, physics, chemistry and other sciences can be described very successfully by models using mathematical tools from Fractional Calculus. Recently, a new space and time fractional Bloch-Torrey equation (ST-FBTE) has been proposed (Magin et al., J. Magn. Reson. 190(2), 255–270, 2008), and successfully applied to analyse diffusion images of human brain tissues to provide new insights for further investigations of tissue structures. In this paper, we consider the ST-FBTE with a nonlinear source term on a finite domain in three-dimensions. The time and space derivatives in the ST-FBTE are replaced by the Caputo and the sequential Riesz fractional derivatives, respectively. Firstly, we propose a spatially second-order accurate implicit numerical method (INM) for the ST-FBTE whereby we discretize the Riesz fractional derivative using a fractional centered difference. Secondly, we prove that the implicit numerical method for the ST-FBTE is uniquely solvable, unconditionally stable and convergent, and the order of convergence of the implicit numerical method is \(O\left (\tau ^{2-\alpha }+\tau +h_{x}^{2}+h_{y}^{2}+h_{z}^{2}\right )\) . Finally, some numerical results are presented to support our theoretical analysis.     

Two-Step Scheme for Backward Stochastic Differential Equations

In this paper, a stochastic linear two-step scheme has been presented to approximate backward stochastic differential equations (BSDEs). A necessary and sufficient condition is given to judge the $\mathbb{L}_2$-stability of our numerical schemes. This stochastic linear two-step method possesses a family of $3$-order convergence schemes in the sense of strong stability. The coefficients in the numerical methods are inferred based on the constraints of strong stability and $n$-order accuracy ($n\in\mathbb{N}^+$). Numerical experiments illustrate that the scheme is an efficient probabilistic numerical method.     

一类二阶线性脉冲微分方程解的渐近性态

研究一类二阶线性脉冲微分方程解的结构和解的渐近性态,其中δ(t)是δ-函数,且对n∈N有an>0,r(t)>0是[t0, ∞) 上的连续函数,0≤t0相似文献   

Approximation of continuous functions by trigonometric polynomials almost everywhere

We consider the problem of the rate of approximation of continuous 2π-periodic functions of class W^rH[ω]C by trigonometric polynomials of order n on sets of total measure. We prove that when r≥0,ω(δ)δ ^?1 → ∞ (δ → 0) there exists a function f ε W^rH[ω]C such thatf ε W^rH[ω]C and for any sequence {t_{n n=1} ^∞ we have almost everywhere on [0, 2π] $\begin{array}{l} \overline {\mathop {\lim }\limits_{n \to \infty } } \left| {f(x) - t_n (x)} \right|n^r \omega ^{ - 1} (1/n) > C_x > 0, \\ \overline {\mathop {\lim }\limits_{n \to \infty } } \left| {\tilde f(x) - t_n (x)} \right|n^r \omega ^{ - 1} (1/n) > C_x > 0. \\ \end{array}$      

Oscillation Criteria for Functional Nonlinear Dynamic Equations with $${\gamma}$$ -Laplacian,Damping and Nonlinearities Given by Riemann–Stieltjes Integrals

In this paper, we present oscillation criteria for the second-order nonlinear dynamic equation \({[a(t)\phi_{\gamma} (x^{\Delta}(t))]^{\Delta} + p(t)\phi_{\gamma}(x^{\Delta^{\sigma}}(t)) + q_{0}(t) \phi_{\gamma}(x(g_{0}(t)))+\sum_{i=1}^{2}\int_{a_{i}}^{b_{i}}q_{i}(t,s)\phi_{\alpha_{i}(s)}(x(g_{i}(t,s))) \Delta \zeta_{i}(s)=0}\) on a time scale \({\mathbb{T}}\) which is unbounded above. Our results generalize and improve some known results for oscillation of second-order nonlinear dynamic equation. Some examples are given to illustrate the main results.     

PPIFE Method with Non-Homogeneous Flux Jump Conditions and Its Efficient Numerical Solver for Elliptic Optimal Control Problems with Interfaces

In this paper, we design a partially penalized immersed finite element method for solving elliptic interface problems with non-homogeneous flux jump conditions. The method presented here has the same global degrees of freedom as classic immersed finite element method. The non-homogeneous flux jump conditions can be handled accurately by additional immersed finite element functions. Four numerical examples are provided to demonstrate the optimal convergence rates of the method in $L^{\infty}$, $L^{2}$ and $H^{1}$ norms. Furthermore, the method is combined with post-processing technique to solve elliptic optimal control problems with interfaces. To solve the resulting large-scale system, block diagonal preconditioners are introduced. These preconditioners can lead to fast convergence of the Krylov subspace methods such as GMRES and are independent of the mesh size. Four numerical examples are presented to illustrate the efficiency of the numerical schemes and preconditioners.     

Normal and mixed partial second-order subdifferentials in variational analysis and optimization

A partial second-order subdifferential is defined here for extended real valued functions of two variables corresponding to its variables through coderivatives of first-order partial subdifferential mappings. In addition, some rules are presented to calculate these second-order structures along with defining some conditions to insure the equality \(\partial ^2_{yx}\) and \(\partial ^2_{xy}\). Moreover, as an application, some conditions are stated which show the relation between local minimum of a function and positiveness of principal minors of its hessian matrix.     

树的计数

阶数为n且不同构的树的个数称为树列t_n.对n阶错排做了划分,汇总计算了对称群的循环指数,结合树的结构特性和波利亚计数定理,给出了一种确定t_n的算法并证明了算法的合理性.计算表明,树列t_n={1,1,1,2,3,6,11,23,47,106,235,551,…}.     

Some extremal properties of positive trigonometric polynomials

For n=8 an upper bound is given for the functional $$V_n = \mathop {\inf }\limits_{t_n } \frac{{\alpha _1 + \alpha _2 + \cdots + \alpha _n }}{{\left( {\sqrt {\alpha _1 } - \sqrt {\alpha _0 } } \right)^2 }}$$ , which is defined on the class of even, nonnegative, trigonometric polynomials \(t_n (\phi ) = \sum\nolimits_{k = 0}^n {\alpha _k } cos k\phi \) , such that α _k ? 0 (k=0, ...,n) α₁>α₀ :V _s ? 34.54461566.     

On the Coderivative of the Projection Operator onto the Second-order Cone

The limiting (Mordukhovich) coderivative of the metric projection onto the second-order cone $\mathbb{R}^{n}$ is computed. This result is used to obtain a sufficient condition for the Aubin property of the solution map of a parameterized second-order cone complementarity problem and to derive necessary optimality conditions for a mathematical program with a second-order cone complementarity problem among the constraints.     

Error Estimate of a New Conservative Finite Difference Scheme for the Klein-Gordon-Dirac System

In this paper, we derive and analyze a conservative Crank-Nicolson-type finite difference scheme for the Klein-Gordon-Dirac (KGD) system. Differing from the derivation of the existing numerical methods given in literature where the numerical schemes are proposed by directly discretizing the KGD system, we translate the KGD equations into an equivalent system by introducing an auxiliary function, then derive a nonlinear Crank-Nicolson-type finite difference scheme for solving the equivalent system. The scheme perfectly inherits the mass and energy conservative properties possessed by the KGD, while the energy preserved by the existing conservative numerical schemes expressed by two-level's solution at each time step. By using energy method together with the 'cut-off' function technique, we establish the optimal error estimate of the numerical solution, and the convergence rate is $\mathcal{O}(τ^2 + h^2)$ in $l^∞$-norm with time step $τ$ and mesh size $h.$ Numerical experiments are carried out to support our theoretical conclusions.     

Cubic-regularization counterpart of a variable-norm trust-region method for unconstrained minimization

In a recent paper, we introduced a trust-region method with variable norms for unconstrained minimization, we proved standard asymptotic convergence results, and we discussed the impact of this method in global optimization. Here we will show that, with a simple modification with respect to the sufficient descent condition and replacing the trust-region approach with a suitable cubic regularization, the complexity of this method for finding approximate first-order stationary points is \(O(\varepsilon ^{-3/2})\). We also prove a complexity result with respect to second-order stationarity. Some numerical experiments are also presented to illustrate the effect of the modification on practical performance.     

Efficient unconditionally stable numerical schemes for a modified phase field crystal model with a strong nonlinear vacancy potential

We consider numerical approximations for a modified phase field crystal model with a strong nonlinear vacancy potential. Based on the invariant energy quadratization approach and stabilized strategies, we develop linear, unconditionally energy stable numerical schemes using the first-order Euler method, the second-order backward differentiation formulas and the second-order Crank–Nicolson method, respectively. We rigorously prove the unconditional energy stability, the mass conservation of these three numerical schemes and carry out error estimates in time for the first-order numerical scheme. Various numerical experiments in 2D and 3D are carried out to validate the accuracy, energy stability, mass conservation, and efficiency of the proposed schemes.     

Exponential Time Differencing-Padé Finite Element Method for Nonlinear Convection-Diffusion-Reaction Equations with Time Constant Delay

In this paper, ETD3-Padé and ETD4-Padé Galerkin finite element methods are proposed and analyzed for nonlinear delayed convection-diffusion-reaction equations with Dirichlet boundary conditions. An ETD-based RK is used for time integration of the corresponding equation. To overcome a well-known difficulty of numerical instability associated with the computation of the exponential operator, the Padé approach is used for such an exponential operator approximation, which in turn leads to the corresponding ETD-Padé schemes. An unconditional $L^2$ numerical stability is proved for the proposed numerical schemes, under a global Lipshitz continuity assumption. In addition, optimal rate error estimates are provided, which gives the convergence order of $O(k^{3}+h^{r})$ (ETD3-Padé) or $O(k^{4}+h^{r})$ (ETD4-Padé) in the $L^2$ norm, respectively. Numerical experiments are presented to demonstrate the robustness of the proposed numerical schemes.     

Second-order schemes for solving decoupled forward backward stochastic differential equations

In this paper,by using trapezoidal rule and the integration-by-parts formula of Malliavin calculus,we propose three new numerical schemes for solving decoupled forward-backward stochastic differential equations.We theoretically prove that the schemes have second-order convergence rate.To demonstrate the effectiveness and the second-order convergence rate,numerical tests are given.     

To the theory of asymptotically stable second-order accurate two-stage scheme for an inhomogeneous parabolic initial-boundary value problem

An asymptotically stable two-stage difference scheme applied previously to a homogeneous parabolic equation with a homogeneous Dirichlet boundary condition and an inhomogeneous initial condition is extended to the case of an inhomogeneous parabolic equation with an inhomogeneous Dirichlet boundary condition. It is shown that, in the class of schemes with two stages (at every time step), this difference scheme is uniquely determined by ensuring that high-frequency spatial perturbations are fast damped with time and the scheme is second-order accurate and has a minimal error. Comparisons reveal that the two-stage scheme provides certain advantages over some widely used difference schemes. In the case of an inhomogeneous equation and a homogeneous boundary condition, it is shown that the extended scheme is second-order accurate in time (for individual harmonics). The possibility of achieving second-order accuracy in the case of an inhomogeneous Dirichlet condition is explored, specifically, by varying the boundary values at time grid nodes by O(τ ²), where τ is the time step. A somewhat worse error estimate is obtained for the one-dimensional heat equation with arbitrary sufficiently smooth boundary data, namely, $O\left( {\tau ^2 \ln \frac{T} {\tau }} \right) $ , where T is the length of the time interval.     

Existence of Solutions to a Class of Fractional Differential Equations

In this paper, the existence of solutions to a class of fractional differential equations $D_{0+}^{\alpha}u(t)=h(t)f(t, u(t), D_{0+}^{\theta}u(t))$ is obtained by an efficient and simple monotone iteration method. At first, the existence of a solution to the problem above is guaranteed by finding a bounded domain $D_M$ on functions $f$ and $g$. Then, sufficient conditions for the existence of monotone solution to the problem are established by applying monotone iteration method. Moreover, two efficient iterative schemes are proposed, and the convergence of the iterative process is proved by using the monotonicity assumption on $f$ and $g$. In particular, a new algorithm which combines Gauss-Kronrod quadrature method with cubic spline interpolation method is adopted to achieve the monotone iteration method in Matlab environment, and the high-precision approximate solution is obtained. Finally, the main results of the paper are illustrated by some numerical simulations, and the approximate solutions graphs are provided by using the iterative method.     

Mean-square stability of second-order Runge–Kutta methods for multi-dimensional linear stochastic differential systems

In this paper, the mean-square stability of second-order Runge–Kutta schemes for multi-dimensional linear stochastic differential systems is studied. Motivated by the work of Tocino [Mean-square stability of second-order Runge–Kutta methods for stochastic differential equations, J. Comput. Appl. Math. 175 (2005) 355–367] and Saito and Mitsui [Mean-square stability of numerical schemes for stochastic differential systems, in: International Conference on SCIentific Computation and Differential Equations, July 29–August 3 2001, Vancouver, British Columbia, Canada] we investigate the mean-square stability of second-order Runge–Kutta schemes for multi-dimensional linear stochastic differential systems with one multiplicative noise. Stability criteria are established and numerical examples that confirm the theoretical results are also presented.