A method is described to construct modal fields for an arbitrary oneor two-dimensional refractive index structure. An arbitrary starting field is propagated along a complex axis using the slowly varying envelope approximation (SVEA). By choosing suitable values for the step-size, one mode is maximally increased in amplitude on propagating, until convergence has been obtained. For the calculatio...

This paper presents a 3D model for pricing defaultable bonds with embedded call options. The pricing model incorporates three essential ingredients in the pricing of defaultable bonds: stochastic interest rate, stochastic default risk, and call provision. Both the stochastic interest rate and the stochastic default risk are modeled as a square-root diffusion process. The default risk process is...

We establish the global existence of L∞ solutions for a model of polytropic gas flow with diffusive entropy. The result is obtained by showing the convergence of a class of finite difference schemes, which includes the Lax– Friedrichs and Godunov schemes. Such convergence is achieved by proving the estimates required for the application of the compensated compactness theory.

A class of finite difference schemes for solving a fractional anti-diffusive equation, recently proposed by Andrew C. Fowler to describe the dynamics of dunes, is considered. Their linear stability is analyzed using the standard Von Neumann analysis: stability criteria are found and checked numerically. Moreover, we investigate the consistency and convergence of these schemes.

Several numerical schemes utilizing central difference approximations have been developed to solve the Goursat problem. However, in a recent years compact discretization methods which leads to high-order finite difference schemes have been used since it is capable of achieving better accuracy as well as preserving certain features of the equation e.g. linearity. The basic idea of the new scheme...

This article is devoted to the numerical study of various finite difference approximations to the stochastic Burgers equation. Of particular interest in the one-dimensional case is the situation where the driving noise is white both in space and in time. We demonstrate that in this case, different finite difference schemes converge to different limiting processes as the mesh size tends to zero....

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Taking the axial heat conduction of wax deposition layer into account, a two-dimensional heat transfer model of calculating the temperature profile inside wax deposition layer was deduced and established based on the energy balance equation, the finite difference method was used to solve this model, and the influence of axial heat conduction on the distribution law of temperature profile inside...

A Mathematica based program has been elaborated in order to determine the symmetry group of a finite difference equation. The package provides functions which enable us to solve the determining equations of the related Lie group.