nonuniform grid
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2021 ◽  
Vol 2021 ◽  
pp. 1-11
Author(s):  
Sangkwon Kim ◽  
Chaeyoung Lee ◽  
Wonjin Lee ◽  
Soobin Kwak ◽  
Darae Jeong ◽  
...  

In this study, we present an accurate and efficient nonuniform finite difference method for the three-dimensional (3D) time-fractional Black–Scholes (BS) equation. The operator splitting scheme is used to efficiently solve the 3D time-fractional BS equation. We use a nonuniform grid for pricing 3D options. We compute the three-asset cash-or-nothing European call option and investigate the effects of the fractional-order α in the time-fractional BS model. Numerical experiments demonstrate the efficiency and fastness of the proposed scheme.


2021 ◽  
pp. 1-32
Author(s):  
Xuejuan Zhang ◽  
Lei Zhang ◽  
Dandan Wang ◽  
Kuo Lan ◽  
Xuesong Zhou ◽  
...  

At present, uniform upscaling division methods are routinely used to upscale geologic model grids, resulting in overly fine grids in some areas of the model. To improve computational efficiency, we have examined the effect of model upscaling with different upscaling parameters with the goal of producing a nonuniform grid with uniform accuracy. We based our nonuniform upscaling grid method on geologic characteristics including reservoir thickness, physical properties, reservoir spacing, and water flooding. Most of the logging curves of thin reservoirs are finger-like, allowing us to define the grid size according to the reservoir thickness. We use two different strategies to discretize uniform and composite reservoirs and represent reservoir thickness that exhibit bell- and funnel-shaped logging curves. Although one grid point accurately represents a uniform reservoir, we find that composite reservoirs require four or five points to accurately represent the physical properties of a composite reservoir. For the thick reservoirs (>5 m) with box- or composite-type logging curves, the physical properties inside the reservoir do not change much; therefore, we use a grid point to represent the reservoir thickness information. Using these metrics, we constructed alternative “moderate” and “efficient” vertical grid upscaling strategies. Taking the 15 sedimentary units with a total thickness of 72 m as an example, the statistical results show that the computational efficiency using our data-adaptive grid can be increased more than five times compared to the traditional uniform fine-grid method while retaining the same accuracy.


2021 ◽  
Vol 26 (1) ◽  
pp. 147-169
Author(s):  
Mart Ratas ◽  
Andrus Salupere ◽  
Jüri Majak

The higher order Haar wavelet method (HOHWM) is used with a nonuniform grid to solve nonlinear partial differential equations numerically. The Burgers’ equation, the Korteweg–de Vries equation, the modified Korteweg–de Vries equation and the sine–Gordon equation are used as model equations. Adaptive as well as nonadaptive nonuniform grids are developed and used to solve the model equations numerically. The numerical results are compared to the known analytical solutions as well as to the numerical solutions obtained by application of the HOHWM on a uniform grid. The proposed methods of using nonuniform grid are shown to significantly increase the accuracy of the HOHWM at the same number of grid points.


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