A Convergent Difference Scheme for a Class of Partial Integro-Differential Equations Modeling Pricing under Uncertainty

2016 ◽  
Vol 54 (2) ◽  
pp. 588-605 ◽  
Author(s):  
G. M. Coclite ◽  
O. Reichmann ◽  
N. H. Risebro
Keyword(s):  
Differential Equations ◽  
Difference Scheme ◽  
Convergent Difference Scheme

Impact on Partial Differential Equations Filtering Models of Difference Scheme

2015 ◽  
Vol 52 (9) ◽  
pp. 091004
Author(s):  
王琳霖 Wang Linlin ◽  
唐晨 Tang Chen ◽  
王亚杰 Wang Yajie
Keyword(s):  
Partial Differential Equations ◽  
Differential Equations ◽  
Difference Scheme ◽  
Partial Differential

scholarly journals On the Numerical Solution of Fractional Hyperbolic Partial Differential Equations

2009 ◽  
Vol 2009 ◽  
pp. 1-11 ◽  
Author(s):  
Allaberen Ashyralyev ◽  
Fadime Dal ◽  
Zehra Pinar
Keyword(s):  
Partial Differential Equations ◽  
Differential Equations ◽  
Difference Scheme ◽  
Numerical Solution ◽  
Hyperbolic Partial Differential Equations ◽  
Stability Estimates ◽  
Partial Differential ◽  
One Dimensional ◽  
Gauss Elimination ◽  
Gauss Elimination Method

The stable difference scheme for the numerical solution of the mixed problem for the multidimensional fractional hyperbolic equation is presented. Stability estimates for the solution of this difference scheme and for the first and second orders difference derivatives are obtained. A procedure of modified Gauss elimination method is used for solving this difference scheme in the case of one-dimensional fractional hyperbolic partial differential equations.

scholarly journals SIMPLE ALGORITHMS FOR CALCULATION OF THE AXIAL‐SYMMETRIC HEAT TRANSPORT PROBLEM IN A CYLINDER

2001 ◽  
Vol 6 (2) ◽  
pp. 262-269 ◽  
Author(s):  
H. Kalis ◽  
A. Lasis
Keyword(s):  
Finite Difference ◽  
Differential Equations ◽  
Difference Scheme ◽  
Ordinary Differential Equations ◽  
Finite Volume Method ◽  
Heat Transport ◽  
Finite Volume ◽  
Transport Problem ◽  
Quadrature Formulae ◽  
Volume Method

The approximation of axial‐symmetric heat transport problem in a cylinder is based on the finite volume method. In the classical formulation of the finite volume method it is assumed that the flux terms in the control volume are approximated with the finite difference expressions. Then in the 1‐D case the corresponding finite difference scheme for the given source function is not exact. There we propose the exact difference scheme. In 2‐D case the corresponding integrals are approximated using different quadrature formulae. This procedure allows one to reduce the heat transport problem described by a partial differential equation to an initial‐value problem for a system of two ordinary differential equations of the order depending on the quadrature formulae used. Numerical solutions of the corresponding algorithms are obtained using MAPLE routines for stiff system of ordinary differential equations.

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