Nonuniform Finite Difference Scheme for the Three-Dimensional Time-Fractional Black–Scholes Equation

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.

Two-Dimensional-One-Dimensional Alternating Direction Schemes for Coastal Systems Convection-Diffusion Problems

The initial boundary value problem for the 3D convection-diffusion equation corresponding to the mathematical model of suspended matter transport in coastal marine systems and extended shallow water bodies is considered. Convective and diffusive transport operators in horizontal and vertical directions for this type of problem have significantly different physical and spectral properties. In connection with the above, a two-dimensional–one-dimensional splitting scheme has been built—a three-dimensional analog of the Peaceman–Rachford alternating direction scheme, which is suitable for the operational suspension spread prediction in coastal systems. The paper has proved the theorem of stability solution with respect to the initial data and functions of the right side, in the case of time-independent operators in special energy norms determined by one of the splitting scheme operators. The accuracy has been investigated, which, as in the case of the Peaceman–Rachford scheme, with the special definition of boundary conditions on a fractional time step, is the value of the second order in dependency of time and spatial steps. The use of this approach makes it possible to obtain parallel algorithms for solving grid convection-diffusion equations which are economical in the sense of total time of problem solution on multiprocessor systems, which includes time for arithmetic operations realization and the one required to carry of information exchange between processors.

A pseudo-spectral Strang splitting method for linear dispersive problems with transparent boundary conditions

The present work proposes a second-order time splitting scheme for a linear dispersive equation with a variable advection coefficient subject to transparent boundary conditions. For its spatial discretization, a dual Petrov–Galerkin method is considered which gives spectral accuracy. The main difficulty in constructing a second-order splitting scheme in such a situation lies in the compatibility condition at the boundaries of the sub-problems. In particular, the presence of an inflow boundary condition in the advection part results in order reduction. To overcome this issue a modified Strang splitting scheme is introduced that retains second-order accuracy. For this numerical scheme a stability analysis is conducted. In addition, numerical results are shown to support the theoretical derivations.

Stability properties of a projector-splitting scheme for dynamical low rank approximation of random parabolic equations

We consider the Dynamical Low Rank (DLR) approximation of random parabolic equations and propose a class of fully discrete numerical schemes. Similarly to the continuous DLR approximation, our schemes are shown to satisfy a discrete variational formulation. By exploiting this property, we establish stability of our schemes: we show that our explicit and semi-implicit versions are conditionally stable under a “parabolic” type CFL condition which does not depend on the smallest singular value of the DLR solution; whereas our implicit scheme is unconditionally stable. Moreover, we show that, in certain cases, the semi-implicit scheme can be unconditionally stable if the randomness in the system is sufficiently small. Furthermore, we show that these schemes can be interpreted as projector-splitting integrators and are strongly related to the scheme proposed in [29, 30], to which our stability analysis applies as well. The analysis is supported by numerical results showing the sharpness of the obtained stability conditions.