Numerical Solutions of Financial Partial Differential Equations

2010 ◽  
pp. 1209-1221
Author(s):  
Gang Nathan Dong
Keyword(s):  
Partial Differential Equations ◽  
Differential Equations ◽  
Numerical Solutions ◽  
Partial Differential

An efficient Bi-cubic B-spline ADI method for numerical solutions of two-dimensional unsteady advection diffusion equations

2018 ◽  
Vol 28 (11) ◽  
pp. 2620-2649 ◽  
Author(s):  
Rajni Rohila ◽  
R.C. Mittal
Keyword(s):  
Partial Differential Equations ◽  
Differential Equations ◽  
Numerical Solutions ◽  
Diffusion Equations ◽  
Spline Functions ◽  
Two Dimensional ◽  
Partial Differential ◽  
Content Type ◽  
B Spline ◽  
Advection Diffusion

Purpose This paper aims to develop a novel numerical method based on bi-cubic B-spline functions and alternating direction (ADI) scheme to study numerical solutions of advection diffusion equation. The method captures important properties in the advection of fluids very efficiently. C.P.U. time has been shown to be very less as compared with other numerical schemes. Problems of great practical importance have been simulated through the proposed numerical scheme to test the efficiency and applicability of method. Design/methodology/approach A bi-cubic B-spline ADI method has been proposed to capture many complex properties in the advection of fluids. Findings Bi-cubic B-spline ADI technique to investigate numerical solutions of partial differential equations has been studied. Presented numerical procedure has been applied to important two-dimensional advection diffusion equations. Computed results are efficient and reliable, have been depicted by graphs and several contour forms and confirm the accuracy of the applied technique. Stability analysis has been performed by von Neumann method and the proposed method is shown to satisfy stability criteria unconditionally. In future, the authors aim to extend this study by applying more complex partial differential equations. Though the structure of the method seems to be little complex, the method has the advantage of using small processing time. Consequently, the method may be used to find solutions at higher time levels also. Originality/value ADI technique has never been applied with bi-cubic B-spline functions for numerical solutions of partial differential equations.

Key words: Nonlinear Differential-Difference Equations; Exp-Function Method; N-Soliton Solutions

2010 ◽  
Vol 65 (11) ◽  
pp. 935-949 ◽  
Author(s):  
Mehdi Dehghan ◽  
Jalil Manafian ◽  
Abbas Saadatmandi
Keyword(s):  
Partial Differential Equations ◽  
Differential Equations ◽  
Homotopy Analysis Method ◽  
Fractional Derivatives ◽  
Numerical Solutions ◽  
Initial Conditions ◽  
Analysis Method ◽  
Partial Differential ◽  
Integer Order ◽  
Homotopy Analysis

In this paper, the homotopy analysis method is applied to solve linear fractional problems. Based on this method, a scheme is developed to obtain approximation solution of fractional wave, Burgers, Korteweg-de Vries (KdV), KdV-Burgers, and Klein-Gordon equations with initial conditions, which are introduced by replacing some integer-order time derivatives by fractional derivatives. The fractional derivatives are described in the Caputo sense. So the homotopy analysis method for partial differential equations of integer order is directly extended to derive explicit and numerical solutions of the fractional partial differential equations. The solutions are calculated in the form of convergent series with easily computable components. The results of applying this procedure to the studied cases show the high accuracy and efficiency of the new technique.

Wavelet Galerkin method for fourth-order multi-dimensional elliptic partial differential equations

2018 ◽  
Vol 16 (05) ◽  
pp. 1850045 ◽  
Author(s):  
B. V. Rathish Kumar ◽  
Gopal Priyadarshi
Keyword(s):  
Partial Differential Equations ◽  
Differential Equations ◽  
Galerkin Method ◽  
Fourth Order ◽  
Numerical Solutions ◽  
Nonlinear Partial Differential Equations ◽  
Computational Cost ◽  
Stability Estimates ◽  
Partial Differential ◽  
Wavelet Galerkin Method

We describe a wavelet Galerkin method for numerical solutions of fourth-order linear and nonlinear partial differential equations (PDEs) in 2D and 3D based on the use of Daubechies compactly supported wavelets. Two-term connection coefficients have been used to compute higher-order derivatives accurately and economically. Localization and orthogonality properties of wavelets make the global matrix sparse. In particular, these properties reduce the computational cost significantly. Linear system of equations obtained from discretized equations have been solved using GMRES iterative solver. Quasi-linearization technique has been effectively used to handle nonlinear terms arising in nonlinear biharmonic equation. To reduce the computational cost of our method, we have proposed an efficient compression algorithm. Error and stability estimates have been derived. Accuracy of the proposed method is demonstrated through various examples.

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