In this paper we consider a backward parabolic partial differential equation, called the Black-Scholes equation, governing American and European option pricing. We present a numerical method combining the Crank-Nicolson method in the time discretization with a hybrid finite difference scheme on a piecewise uniform mesh in the spatial discretization. The difference scheme is stable for the arbit...

We consider a second-order conservative nonlinear numerical scheme for the Ncomponent Cahn–Hilliard system modeling the phase separation of a N-component mixture. The scheme is based on a Crank–Nicolson finite-difference method and is solved by an efficient and accurate nonlinear multigrid method. We numerically demonstrate the second-order accuracy of the numerical scheme. We observe that our ...

We consider the fractional cable equation. For solution of fractional Cable equation involving Caputo fractional derivative, a new difference scheme is constructed based on Crank Nicholson difference scheme. We prove that the proposed method is unconditionally stable by using spectral stability technique.

Flow movement in unsaturated soil can be expressed by a partial differential equation, named Richards equation. The objective of this study is the finding of an appropriate implicit numerical solution for head based Richards equation. Some of the well known finite difference schemes (fully implicit, Crank Nicolson and Runge-Kutta) have been utilized in this study. In addition, the effects of di...

In this paper, we give a fourth-order compact finite difference scheme for the general forms of two point boundary value problems and two dimensional elliptic partial differential equations (PDE’s). By decomposing the coefficient matrix into a sum of several matrixes after we discretize the original problem, we can obtain a lower bound for the smallest eigenvalue of the coefficient matrix. Thus...

In this paper, preconditioned iterative methods for solving two-dimensional space-fractional diffusion equations are considered. The fractional diffusion equation is discretized by a second-order finite difference scheme, namely, the Crank-Nicolson weighted and shifted Grünwald difference (CN-WSGD) scheme proposed in [W. Tian, H. Zhou andW. Deng, A class of second order difference approximation...

In this paper, we consider the time dependent Maxwell’s equations when dispersive media are involved. The Crank-Nicolson mixed finite element methods are developed for three most popular dispersive medium models: the isotropic cold plasma, the one-pole Debye medium and the two-pole Lorentz medium. Optimal error estimates are proved for all three models solved by the Raviart-Thomas-Nédélec space...

There have been several recent works on developing moving mesh methods for solving phase-field equations. However, it is observed that some of these moving mesh solutions are essentially different with the solutions on very fine fixed meshes. One of the purposes of this work is to understand the reason for the differences. We carried out numerical sensitivity studies systematically in this pape...

The effects of exponentially varying viscosity and linearly varying thermal conductivity on unsteady MHD natural convective flow past a semi infinite vertical plate in a thermally stratified medium is studied. The variables of both viscosity and thermal conductivity are considered only a function of temperature. The governing boundary layer equations of continuity, momentum and energy have been...

An efficient numerical self-consistent field theory (SCFT) algorithm is developed for treating structured polymers on spherical surfaces. The method solves the diffusion equations of SCFT with a pseudospectral approach that combines a spherical-harmonics expansion for the angular coordinates with a modified real-space Crank–Nicolson method for the radial direction. The self-consistent field equ...