Improved contour integral methods for parabolic PDEs

2009 ◽  
Vol 30 (1) ◽  
pp. 334-350 ◽  
Author(s):  
J. A. C. Weideman
2021 ◽  
Vol 89 (1) ◽  
Author(s):  
Nicola Guglielmi ◽  
María López-Fernández ◽  
Mattia Manucci

AbstractWe generalize ideas in the recent literature and develop new ones in order to propose a general class of contour integral methods for linear convection–diffusion PDEs and in particular for those arising in finance. These methods aim to provide a numerical approximation of the solution by computing its inverse Laplace transform. The choice of the integration contour is determined by the computation of a few suitably weighted pseudo-spectral level sets of the leading operator of the equation. Parabolic and hyperbolic profiles proposed in the literature are investigated and compared to the elliptic contour originally proposed by Guglielmi, López-Fernández and Nino 2020, see Guglielmi et al. (Math Comput 89:1161–1191, 2020). In summary, the article provides a comparison among three different integration profiles; proposes a new fast pseudospectral roaming method; optimizes the selection of time windows on which one may arbitrarily approximate the solution by no extra computational cost with respect to the case of a fixed time instant; focuses extensively on computational aspects and it is the reference of the MATLAB code [20], where all algorithms described here are implemented.


2018 ◽  
Vol 2018 ◽  
pp. 1-12
Author(s):  
Yong Chen ◽  
Jianjun Ma

The aim of this paper is to study the numerical contour integral methods (NCIMs) for solving free-boundary partial differential equations (PDEs) from American volatility options pricing. Firstly, the governing free-boundary PDEs are modified as a unified form of PDEs on the fixed space region; then performing Laplace-Carson transform (LCT) leads to ordinary differential equations (ODEs) which involve the unknown inverse functions of free boundaries. Secondly, the inverse free-boundary functions are approximated and optimized by solving of the free-boundary values of the perpetual American volatility options. Finally, the ODEs are solved by the finite difference methods (FDMs), and the results are restored via the numerical Laplace inversion. Numerical results confirm that the NCIMs outperform the FDMs for solving free-boundary PDEs in regard to the accuracy and computational time.


1946 ◽  
Author(s):  
MASSACHUSETTS INST OF TECH CAMBRIDGE

Author(s):  
Michael P. Allen ◽  
Dominic J. Tildesley

This chapter covers the introduction of quantum mechanics into computer simulation methods. The chapter begins by explaining how electronic degrees of freedom may be handled in an ab initio fashion and how the resulting forces are included in the classical dynamics of the nuclei. The technique for combining the ab initio molecular dynamics of a small region, with classical dynamics or molecular mechanics applied to the surrounding environment, is explained. There is a section on handling quantum degrees of freedom, such as low-mass nuclei, by discretized path integral methods, complete with practical code examples. The problem of calculating quantum time correlation functions is addressed. Ground-state quantum Monte Carlo methods are explained, and the chapter concludes with a forward look to the future development of such techniques particularly to systems that include excited electronic states.


Author(s):  
Kazutoshi Ohta ◽  
Norisuke Sakai

Abstract We study the moduli space volume of BPS vortices in quiver gauge theories on compact Riemann surfaces. The existence of BPS vortices imposes constraints on the quiver gauge theories. We show that the moduli space volume is given by a vev of a suitable cohomological operator (volume operator) in a supersymmetric quiver gauge theory, where BPS equations of the vortices are embedded. In the supersymmetric gauge theory, the moduli space volume is exactly evaluated as a contour integral by using the localization. Graph theory is useful to construct the supersymmetric quiver gauge theory and to derive the volume formula. The contour integral formula of the volume (generalization of the Jeffrey-Kirwan residue formula) leads to the Bradlow bounds (upper bounds on the vorticity by the area of the Riemann surface divided by the intrinsic size of the vortex). We give some examples of various quiver gauge theories and discuss properties of the moduli space volume in these theories. Our formula are applied to the volume of the vortex moduli space in the gauged non-linear sigma model with CPN target space, which is obtained by a strong coupling limit of a parent quiver gauge theory. We also discuss a non-Abelian generalization of the quiver gauge theory and “Abelianization” of the volume formula.


2021 ◽  
Vol 2021 (1) ◽  
Author(s):  
Raheel Kamal ◽  
Kamran ◽  
Gul Rahmat ◽  
Ali Ahmadian ◽  
Noreen Izza Arshad ◽  
...  

AbstractIn this article we propose a hybrid method based on a local meshless method and the Laplace transform for approximating the solution of linear one dimensional partial differential equations in the sense of the Caputo–Fabrizio fractional derivative. In our numerical scheme the Laplace transform is used to avoid the time stepping procedure, and the local meshless method is used to produce sparse differentiation matrices and avoid the ill conditioning issues resulting in global meshless methods. Our numerical method comprises three steps. In the first step we transform the given equation to an equivalent time independent equation. Secondly the reduced equation is solved via a local meshless method. Finally, the solution of the original equation is obtained via the inverse Laplace transform by representing it as a contour integral in the complex left half plane. The contour integral is then approximated using the trapezoidal rule. The stability and convergence of the method are discussed. The efficiency, efficacy, and accuracy of the proposed method are assessed using four different problems. Numerical approximations of these problems are obtained and validated against exact solutions. The obtained results show that the proposed method can solve such types of problems efficiently.


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