This paper considers the computational issue of the optimal stopping problem for the stochastic functional differential equation treated in [4]. The finite difference method developed by Barles and Souganidis [2] is used to obtain a numerical approximation for the viscosity solution of the infinite dimensional Hamilton-Jacobi-Bellman variational inequality (HJBVI) associated with the optimal st...

We present a finite difference method for solving parabolic partial integro-differential equations with possibly singular kernels which arise in option pricing theory when the random evolution of the underlying asset is driven by a Lévy process or, more generally, a time-inhomogeneous jumpdiffusion process. We discuss localization to a finite domain and provide an estimate for the localization ...

in this paper, a high-order and conditionally stable stochastic difference scheme is proposed for the numerical solution of $rm ithat{o}$ stochastic advection diffusion equation with one dimensional white noise process. we applied a finite difference approximation of fourth-order for discretizing space spatial derivative of this equation. the main properties of deterministic difference schemes,...

In this paper, Numerical Methods for solving ordinary differential equations, beginning with basic techniques of finite difference methods for linear boundary value problem is investigated. Numerical solution is found for the boundary value problem using finite difference method and the results are compared with analytical solution. MATLAB coding is developed for the finite difference method. T...

the transport of dissolved contaminants in groundwater is usually described by the advectiondispersion equation with reaction. several numerical methods for solving the one-dimensional are availableincluding finite difference methods, finite volume methods, and finite element methods. stringent conditions,such as small peclet (pe) and courant (cr) numbers, must be satisfied to ensure the accura...

The Poisson equation frequently emerges in many fields of science and engineering. As exact solutions are rarely possible, numerical approaches great interest. Despite this, a succinct discussion systematic approach to constructing flexible general solver can be difficult find. In this introductory paper, comprehensive is presented on how build finite difference matrix that solve the for arbitr...

to control the nonlinear numerical instability, throughout the time evolution of the eulerian form of the nonlinear rotating shallow water equations, it is necessary to add numerical diffusion to the solution. it is clear that, this extra numerical diffusion degrades the accuracy of the numerical solution and should be kept as small as possible. in a conventional approach a hyper-diffusion is u...