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We study a superreplication problem of European options with gamma constraints, in mathematical finance. The initially unbounded control problem is set back to a problem involving a viscosity PDE solution with a set of bounded controls. Then a numerical approach is introduced, inconditionnally stable with respect to the mesh steps. A generalized finite difference scheme is used since basic fini...

Thirdand fourth-order accurate finite difference schemes for the first derivative of the square of the speed are developed, for both uniform and non-uniform grids, and applied in the study of a two-dimensional viscous fluid flow through an irregular domain. The von Mises transformation is used to transform the governing equations, and map the irregular domain onto a rectangular computational do...

Finite difference method is used to calculate the via-plate capacitances for vias with pad. Due to the symmetric structure, the solving domain is reduced to a rectangular ρ − z region. Boundary conditions along the region are discussed. Both barrel-plate and pad-plate capacitances are studied with various geometric parameters. The results could be used as validations for possible analytical exp...

Discrete versions of basic inequalities in functional analysis such as the Sobolev inequality play key role in theoretical analysis of finite difference schemes. They have been shown for some simple difference operators, but are still left open for general operators, even including the standard central difference operators. In this paper, we propose a systematic approach for deriving such inequ...

Abstract. A numerical method is presented for the treatment of one-dimensional compressible flames. The method consists of a conservative front tracking algorithm for use near the flame and a high-order finite difference scheme for capturing the hvdrodynamics throughout the rest of the domain. The results presented show that the method effectively models the interaction of gas dynamics with bot...

we put forward a new migration imaging technique of Magnetotellurics (MT) data based on improved finite difference method, which increased the accuracy of difference equation and imaging resolution greatly. We also discussed the determination of background resistivity and reimaging. The processing results of theoretical model and case study indicated that this method was a more practical and ef...

This paper brings together two methods producing numerical solutions with a statement of their quality — the nonstandard finite difference method and the method of validated computing. It deals with the construction and the analysis of reliable numerical discretizations of dynamical systems by employing these two techniques. An epidemiological model is used as a model example for their combined...

Mimetic discretizations based on the support-operators methodology are derived for non-orthogonal locally refined quadrilateral meshes. The second-order convergence rate on non-smooth meshes is verified with numerical examples. 2004 Elsevier Inc. All rights reserved. PACS: 65N06; 65N22; 80A20

We do the numerical analysis and simulations for the time fractional radial diffusion equation used to describe the anomalous subdiffusive transport processes on the symmetric diffusive field. Based on rewriting the equation in a new form, we first present two kinds of implicit finite difference schemes for numerically solving the equation. Then we strictly establish the stability and convergen...