Crank-Nicolson拟合有限体积法定价机制转换下的欧式期权（英文）

This paper develops and analyses a novel numerical scheme to price European options under regime switching model which is governed by a system of partial differential equations(PDEs).To numerically solve these PDEs,we introduce a fitted finite volume method for the spatial discretization,coupled with the Crank-Nicolson time stepping scheme.We show that this scheme is consistent,stable and monotone,and hence the convergence of the numerical solution to the viscosity solution of the continuous problem is guaranteed.Numerical experiments are presented to demonstrate the accuracy,efficiency and robustness of the new numerical method.     

带有不连续系数的线性输运方程差分格式的收敛性

提出了一个基于三角形网格的显式差分格式逼近带有不连续系数的线性输运方程. 通过对数值解的有界性、TVD(total variation decreasing)和空间、时间方向的平移估计, 利用Kolmogorov紧性原理证明了数值解在L¹_loc模下收敛于初值问题的唯一弱解.从而得到了初值问题解的存在唯一性和关于初值的稳定性. 数值算例表明本文提出的格式计算方便而且比 Lax-Friedrichs格式更有效.       

Analysis of a meshless method for the time fractional diffusion-wave equation

In this paper a numerical technique is proposed for solving the time fractional diffusion-wave equation. We obtain a time discrete scheme based on finite difference formula. Then, we prove that the time discrete scheme is unconditionally stable and convergent using the energy method and the convergence order of the time discrete scheme is \(\mathcal {O}(\tau ^{3-\alpha })\). Firstly, we change the main problem based on Dirichlet boundary condition to a new problem based on Robin boundary condition and then, we consider a semi-discrete scheme with Robin boundary condition and show when \(\beta \rightarrow +\infty \) solution of the main semi-discrete problem with Dirichlet boundary condition is convergent to the solution of the new semi-discrete problem with Robin boundary condition. We consider the new semi-discrete problem with Robin boundary condition and use the meshless Galerkin method to approximate the spatial derivatives. Finally, we obtain an error bound for the new problem. We prove that convergence order of the numerical scheme based on Galekin meshless is \(\mathcal {O}(h)\). In the considered method the appeared integrals are approximated using Gauss Legendre quadrature formula. The main aim of the current paper is to obtain an error estimate for the meshless Galerkin method based on the radial basis functions. Numerical examples confirm the efficiency and accuracy of the proposed scheme.     

广义对称正则长波方程的守恒差分格式

文章考虑了具有齐次边界条件的广义对称正则长波方程的有限差分格式.提出了一个守恒并且线性非耦合的三层有限差分格式,由于格式在计算中只需要解三对角线性方程组,从而避免了其中的迭代计算.文中先讨论了一个离散守恒量,然后我们利用离散泛函分析方法证明了格式的收敛性和稳定性,从理论上得到了收敛阶为O(h~2+τ~2).通过数值试验表明,所提的方法是可靠有效的.     

Two-dimensional inverse quasilinear parabolic problem with periodic boundary condition

In this study, we consider a coefficient problem of a quasi-linear two-dimensional parabolic inverse problem with periodic boundary and integral over determination conditions. We prove the existence, uniqueness and continuously dependence upon the data of the solution by iteration method. Also, we consider numerical solution for this inverse problem by using linearization and the implicit finite-difference scheme.     

A robust finite difference scheme for pricing American put options with Singularity-Separating method

In this paper we present a stable numerical method for the linear complementary problem arising from American put option pricing. The numerical method is based on a hybrid finite difference spatial discretization on a piecewise uniform mesh and an implicit time stepping technique. The scheme is stable for arbitrary volatility and arbitrary interest rate. We apply some tricks to derive the error estimates for the direct application of finite difference method to the linear complementary problem. We use the Singularity-Separating method to remove the singularity of the non-smooth payoff function. It is proved that the scheme is second-order convergent with respect to the spatial variable. Numerical results support the theoretical results.     

Geodesic active contour under geometrical conditions: theory and 3D applications

In this paper, we propose a new scheme for both detection of boundaries and fitting of geometrical data based on a geometrical partial differential equation, which allows a rigorous mathematical analysis. The model is a geodesic-active-contour-based model, in which we are trying to determine a curve that best approaches the given geometrical conditions (for instance a set of points or curves to approach) while detecting the object under consideration. Formal results concerning existence, uniqueness (viscosity solution) and stability are presented as well. We give the discretization of the method using an additive operator splitting scheme which is very efficient for this kind of problem. We also give 2D and 3D numerical examples on real data sets.     

Numerical approximations for the nonlinear time fractional reaction–diffusion equation

In this article, we propose an implicit pseudospectral scheme for nonlinear time fractional reaction–diffusion equations with Neumann boundary conditions, which is based upon Gauss–Lobatto–Legendre–Birkhoff pseudospectral method in space and finite difference method in time. A priori estimate of numerical solution is given firstly. Then the existence of numerical solution is proved by Brouwer fixed point theorem and the uniqueness is obtained. It is proved rigorously that the fully discrete scheme is unconditionally stable and convergent. Furthermore, we develop a modified scheme by adding correction terms for the problem with nonsmooth solutions. Numerical examples are given to verify the theoretical analysis.     

Solvability of a dynamic contact problem between a piezoelectric body and a conductive foundation

We consider a mathematical model which describes the dynamic process of contact between a piezoelectric body and an electrically conductive foundation. We model the material’s behavior with a nonlinear electro-viscoelastic constitutive law; the contact is frictionless and is described with the normal compliance condition and a regularized electrical conductivity condition. We derive a variational formulation for the problem and then, under a smallness assumption on the data, we prove the existence of a unique weak solution to the model. We also investigate the behavior of the solution with respect the electric data on the contact surface and prove a continuous dependence result. Then, we introduce a fully discrete scheme, based on the finite element method to approximate the spatial variable and the backward Euler scheme to discretize the time derivatives. We treat the contact by using a penalized approach and a version of Newton’s method. We implement this scheme in a numerical code and, in order to verify its accuracy, we present numerical simulations in the study of two-dimensional test problems. These simulations provide a numerical validation of our continuous dependence result and illustrate the effects of the conductivity of the foundation, as well.     

Multiquadric approximation scheme on the numerical solution of delay differential systems of neutral type

In this paper, the aim is to present the multiquadric approximation scheme on the numerical solution of delay differential systems of neutral type. In presenting the process of the solution, the error estimation and run time of the method is introduced. We present the advantages of using the method and compare it with other methods. Comparing the numerical results obtained from the other methods, demonstrate the high accuracy and the efficiency of the proposed method. Also, we present some experiments in which numerical results show that the method works excellently, even where the data points are scattered. This indicates that the method is stable too.     

状态转换下欧式Merton跳扩散期权定价的拟合有限体积方法

本文主要研究状态转换下欧式Merton跳扩散期权定价模型的拟合有限体积方法.针对该定价模型中的偏积分-微分方程,空间方向采用拟合有限体积方法离散,时间方向构造Crank-Nicolson格式.理论证明了数值格式的一致性、稳定性和单调性,因此收敛至原连续问题的解.数值实验验证了新方法的稳健性,有效性和收敛性.     

Existence and smoothness of continuous and discrete solutions of a two-dimensional shallow water problem over movable beds

We consider a two-dimensional shallow water system over movable beds. We begin with a continuous system and prove the existence of the solutions, and then we investigate their smoothness. Then, we employ a Galerkin method to obtain a finite-dimensional problem which is solved using a Brouwer fixed point theorem. Therefore, we show that the limits of the resulting solution sequences satisfy the model equations.After solving the continuous problem, we focus on the corresponding discrete problem. We employ a local discontinuous Galerkin scheme for numerical solution of the discrete system and conduct an error analysis of the numerical scheme. We prove that the method is convergent and that the error is bounded according to a specific norm defined herein.     

Numerical solution of constant coefficient linear delay differential equations as abstract Cauchy problems

Summary. In this paper we present an approach for the numerical solution of delay differential equations where , and , different from the classical step-by-step method. We restate (1) as an abstract Cauchy problem and then we discretize it in a system of ordinary differential equations. The scheme of discretization is proved to be convergent. Moreover the asymptotic stability is investigated for two significant classes of asymptotically stable problems (1). Received May 4, 1998 / Revised version received January 25, 1999 / Published online November 17, 1999     

常系数扩散方程的三层九点差分格式的稳定性（英文）

In this paper,we study a numerical solution of diffusion equation.We propose a three level-nine-point implicit difference scheme and prove the difference scheme is compatible with diffusion equation,second order convergent,unconditionally stable.A numerical experiments show,the difference scheme works well inside domain,but not near the discontinuous initial-boundary points,there are still has a vibration even though it was proved unconditionally stable theoretically.We take an action to solve the disturbance,give an Algorithm,Algorithm says,we must do some primal work at the discontinuous-initial-boundary points,then starting numerical solution according the three level-nine-point implicit difference scheme we proposed in this paper.The numerical example is done once again,and there is no disturbance or vibration,our Algorithm performed well all in domain and on the boundary points with small error and good accuracy,so the Algorithm we recommended is feasible and effective.     

Discontinuous Least-Squares finite element method for the Div-Curl problem

In this paper, we consider the div-curl problem posed on nonconvex polyhedral domains. We propose a least-squares method based on discontinuous elements with normal and tangential continuity across interior faces, as well as boundary conditions, weakly enforced through a properly designed least-squares functional. Discontinuous elements make it possible to take advantage of regularity of given data (divergence and curl of the solution) and obtain convergence also on nonconvex domains. In general, this is not possible in the least-squares method with standard continuous elements. We show that our method is stable, derive a priori error estimates, and present numerical examples illustrating the method.     

AN EXPANDED CHARACTERISTIC-MIXED FINITE ELEMENT METHOD FOR A CONVECTION-DOMINATED TRANSPORT PROBLEM

In this paper, we propose an Expanded Characteristic-mixed Finite Element Method for approximating the solution to a convection dominated transport problem. The method is a combination of characteristic approximation to handle the convection part in time and an expanded mixed finite element spatial approximation to deal with the diffusion part. The scheme is stable since fluid is transported along the approximate characteristics on the discrete level. At the same time it expands the standard mixed finite element method in the sense that three variables are explicitly treated： the scalar unknown, its gradient, and its flux. Our analysis shows the method approximates the scalar unknown, its gradient, and its flux optimally and simultaneously. We also show this scheme has much smaller time-truncation errors than those of standard methods. A numerical example is presented to show that the scheme is of high performance.     

求一阶数值微分的L-广义解方法cTSVD

<正>1引言数值微分也就是给定一个函数在一个区间或某些离散点上的扰动数据来求函数的导数,它产生于很多实际问题当中,比如,图象处理中的边界识别问题;Abel积分方程的求解问题;化学中波谱的波峰识别问题.以及一些数学物理反问题当中.数值微     

非局部Allen-Cahn模型全离散数值格式的误差估计

在这项工作中,我们研究了求解非局部体积守恒Allen-Cahn (AC)方程的全离散傅里叶伪谱数值格式的误差估计.该数值格式的时间行军方法基于著名的不变能量平方法(IEQ). 我们证明了所提出的全离散数值方法是唯一可解,无条件能量稳定的,并获得了该方案在空间和时间上的最优误差估计.此外,我们还进行了一些数值检验来验证理论结果.     

Helmholtz方程Cauchy问题的间接积分方程方法

 本文处理二维和三维Helmholtz方程的边界数据复原问题.通过利用位势理论近似问题的解,导出了解决Cauchy问题的一种非迭代积分方程方法.为了处理形成问题的不适定性,采用了Tikhonov正则化结合Morozov偏差原理的方法,并且给出了算法的收敛性和误差估计,最后给出了二维和三维的数值算例.通过数值算例我们检验了源点和边界之间距离的关系,算法关于噪声、源点数目的数值收敛性,稳定性.     

Analysis of an eddy current and micromagnetic model

We consider a coupled eddy current and micromagnetic model describing the behaviour of dynamic electromagnetic phenomena in applications such as disk write heads. We first prove the existence of a weak solution to this nonlinear problem. Then we outline a numerical time-stepping scheme. Since the numerical method requires a nonstandard mixed boundary value eddy current problem to be solved at each time step, we show the existence and uniqueness of a solution for the corresponding eddy current problem. This is accomplished using an image principle and the verification of a suitable Babu?ka–Brezzi condition.