منابع مشابه
An efficient nonstandard numerical method with positivity preserving property
Classical explicit finite difference schemes are unsuitable for the solution of the famous Black-Scholes partial differential equation, since they impose severe restrictions on the time step. Furthermore, they may produce spurious oscillations in the solution. We propose a new scheme that is free of spurious oscillations and guarantees the positivity of the solution for arbitrary stepsizes. The...
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Positivity-preserving discontinuous Galerkin (DG) methods for solving hyperbolic 5 conservation laws have been extensively studied in the last several years. But nearly all the devel6 oped schemes are coupled with explicit time discretizations. Explicit discretizations suffer from the 7 constraint for the Courant-Friedrichs-Levis (CFL) number. This makes explicit methods impractical 8 for probl...
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We consider finite element operators defined on “rough” functions in a bounded polyhedron Ω in RN . Insisting on preserving positivity in the approximations, we discover an intriguing and basic difference between approximating functions which vanish on the boundary of Ω and approximating general functions which do not. We give impossibility results for approximation of general functions to more...
متن کاملan efficient nonstandard numerical method with positivity preserving property
classical explicit finite difference schemes are unsuitable for the solution of the famous black-scholes partial differential equation, since they impose severe restrictions on the time step. furthermore, they may produce spurious oscillations in the solution. we propose a new scheme that is free of spurious oscillations and guarantees the positivity of the solution for arbitrary stepsizes. the...
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The Cox-Ingersoll-Ross (CIR) interest rate model is one of the most celebrated models in financial industry. The CIR interest rate model always has been the focus of study in mathematical finance litrature [2] as well as in the financial industry. It is also the area of interest in numerical science litrature [3 4 6 8 9 10 13 14 15 16 20] because of its non-explicit analytical solution. Signifi...
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ژورنال
عنوان ژورنال: American Journal of Scientific and Industrial Research
سال: 2012
ISSN: 2153-649X
DOI: 10.5251/ajsir.2012.3.6.367.375