Nonstandard finite difference schemes for the Black-Scholes partial differential equation preserving the positivity property are proposed. Computationally simple schemes are derived by using a nonlocal approximation in the reaction term of the Black-Scholes equation. Unlike the standard methods, the solutions of new proposed schemes are positive and free of the spurious oscillations.

in the present article, we focus on the numerical approximation of stochastic partial differential equations of itˆo type with space-time white noise process, in particular, parabolic equations. for each case of additive andmultiplicative noise, the numerical solution of stochastic diffusion equations is approximated using two stochastic finite difference schemes and the stability and consisten...

Fourth-order combined compact finite difference scheme is given for solving the time fractional convection–diffusion–reaction equation with variable coefficients. We introduce the flux as a new variable and transform the original equation into a system of two equations. Compact difference is used as a high-order approximation for spatial derivatives of integer order in the coupled partial diffe...

The motivation of this study is twofold. First, a recursive mathematical formulation the discrete-velocity Boltzmann equation (DVBE) under Bhatnagar-Gross-Krook (BGK) approximation introduced. This allows us to formally express solution DVBE as an infinite sum over successive particle derivatives distributions associated with local equilibrium. A Chapman-Enskog multiple-scales expansion shows t...

The method of difference potentials was originally proposed by Ryaben’kii, and is a generalized discrete version of the method of Calderon’s operators. It handles non-conforming curvilinear boundaries, variable coefficients, and non-standard boundary conditions while keeping the complexity of the solver at the level of a finite-difference scheme on a regular structured grid. Compact finite diff...