Convergence and Stability in Maximum Norms of Linearized Fourth-Order Conservative Compact Scheme for Benjamin–Bona–Mahony–Burgers’ Equation

2021 ◽  
Vol 87 (2) ◽  
Author(s):  
Qifeng Zhang ◽  
Lingling Liu
Keyword(s):  
Fourth Order ◽  
Burgers Equation ◽  
Compact Scheme ◽  
Convergence And Stability

FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS

2018 ◽  
Vol 21 (04) ◽  
pp. 1850027 ◽  
Author(s):  
KULDIP SINGH PATEL ◽  
MANI MEHRA
Keyword(s):  
Fourth Order ◽  
Initial Conditions ◽  
Linear Equations ◽  
Jump Diffusion ◽  
Diffusion Models ◽  
Compact Scheme ◽  
Discrete Problem ◽  
Option Prices ◽  
Fully Discrete ◽  
Fourth Order Compact Scheme

In this paper, a compact scheme with three time levels is proposed to solve the partial integro-differential equation that governs the option prices in jump-diffusion models. In the proposed compact scheme, the second derivative approximation of the unknowns is approximated using the value of these unknowns and their first derivative approximations, thereby allowing us to obtain a tridiagonal system of linear equations for a fully discrete problem. Moreover, the consistency and stability of the proposed compact scheme are proved. Owing to the low regularity of typical initial conditions, a smoothing operator is employed to ensure the fourth-order convergence rate. Numerical illustrations concerning the pricing of European options under the Merton’s and Kou’s jump-diffusion models are presented to validate the theoretical results.

scholarly journals ANALYSIS OF DISPERSION ERRORS IN ACOUSTIC WAVE SIMULATIONS

2006 ◽  
Vol 5 (1) ◽  
pp. 62
Author(s):  
R. A. C. Germanos ◽  
L. F. De Souza
Keyword(s):  
Acoustic Wave ◽  
Fourth Order ◽  
Finite Differences ◽  
Acoustic Waves ◽  
Time Integration ◽  
Compact Scheme ◽  
High Order Accuracy ◽  
Discretization Schemes ◽  
Analysis Of Dispersion ◽  
The Waves

The governing equations of the acoustic problem are the compressible Euler equations. The discretization of these equations has to ensure that the acoustic waves are transported with non-dispersive and non-dissipative characteristics. In the present study numerical simulations of a standing acoustic wave are performed. Four different space discretization schemes are tested, namely, a second order finite-differences, a fourth order finitedifferences, a fourth order finite-differences compact scheme and a sixth order finite-differences compact scheme. The time integration is done with a fourth order Runge-Kutta scheme. The results obtained are compared with linearized analytical solutions. The influence of the dispersion on the simulation of a standing wave is analyzed. The results confirm that high order accuracy schemes can be more efficient for simulation of acoustic waves, especially the waves with high frequency.

Compact Discrete Gradient Schemes for Nonlinear Schrödinger Equations

2017 ◽  
Vol 18 (1) ◽  
pp. 1-7
Author(s):  
Xiuling Yin ◽  
Chengjian Zhang ◽  
Jingjing Zhang
Keyword(s):  
Fourth Order ◽  
Numerical Experiments ◽  
Schrodinger Equation ◽  
Gradient Methods ◽  
Compact Scheme ◽  
Order Accuracy ◽  
Nonlinear Schrödinger ◽  
Discrete Gradient ◽  
Nonlinear Schrodinger Equations ◽  
Discrete Invariants

AbstractThis paper proposes two schemes for a nonlinear Schrödinger equation with four-order spacial derivative by using compact scheme and discrete gradient methods. They are of fourth-order accuracy in space. We analyze two discrete invariants of the schemes. The numerical experiments are implemented to investigate the efficiency of the schemes.

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