On the Ostrowski Method for Solving Equations

In this paper, we revisited the Ostrowski's method for solving Banach space valued equations. We developed a technique to determine a subset of the original convergence domain and using this new Lipschitz constants derived. These constants are at least as tight as the earlier ones leading to a finer convergence analysis in both the semi-local and the local convergence case. These techniques are very general, so they can be used to extend the applicability of other methods without additional hypotheses. Numerical experiments complete this study.

Extending the Applicability and Convergence Domain of a Fifth-Order Iterative Scheme under Hölder Continuous Derivative in Banach Spaces

The most significant contribution made by this study is that the applicability and convergence domain of a fifth-order convergent nonlinear equation solver is extended. We use Hölder condition on the first Fréchet derivative to study the local analysis, and this expands the applicability of the formula for such problems where the earlier study based on Lipschitz constants cannot be used. This study generalizes the local analysis based on Lipschitz constants. Also, we avoid the use of the extra assumption on boundedness of the first derivative of the involved operator. Finally, numerical experiments ensure that our analysis expands the utility of the considered scheme. In addition, the proposed technique produces a larger convergence domain, in comparison to the earlier study, without using any extra conditions.

Convergence analysis for a fast class of multi-step Chebyshev-Halley-type methods under weak conditions

In this study a convergence analysis for a fast multi-step Chebyshe-Halley-type method for solving nonlinear equations involving Banach space valued operator is presented. We introduce a more precise convergence region containing the iterates leading to tighter Lipschitz constants and functions. This way advantages are obtained in both the local as well as the semi-local convergence case under the same computational cost such as: extended convergence domain, tighter error bounds on the distances involved and a more precise information on the location of the solution. The new technique can be used to extend the applicability of other iterative methods. The numerical examples further validate the theoretical results.

Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)

We solve a family of fractional Riccati equations with constant (possibly complex) coefficients. These equations arise, for example, in fractional Heston stochastic volatility models, which have received great attention in the recent financial literature because of their ability to reproduce a rough volatility behavior. We first consider the case of a zero initial value corresponding to the characteristic function of the log-price. Then we investigate the case of a general starting value associated to a transform also involving the volatility process. The solution to the fractional Riccati equation takes the form of power series, whose convergence domain is typically finite. This naturally suggests a hybrid numerical algorithm to explicitly obtain the solution also beyond the convergence domain of the power series. Numerical tests show that the hybrid algorithm is extremely fast and stable. When applied to option pricing, our method largely outperforms the only available alternative, based on the Adams method.

On Koenig's theorem for integer functions of finite order

Показано, что теорема Кенига о нулях аналитической функции, примененная к логарифмической производной целой функции конечного порядка, приводит к алгоритму отыскания нулей, для которого областями сходимости являются многоугольники Вороного искомых нулей. Так как диаграмма Вороного последовательности нулей составляет множество меры нуль, то алгоритм имеет глобальную сходимость. Дана оценка скорости сходимости. Для итераций высших порядков, которые строятся с помощью теоремы Кенига, рассмотрено влияние кратности корня на область сходимости и приводится оценка скорости сходимости. It is shown that Koenig's theorem on zeros of analytic functions applied to the logarithmic derivative of an integer function of finite order leads to an algorithm of finding zeros whose convergence domains are the Voronoi polygons of the zeros to be found. Since the Voronoi diagram of a sequence of zeros is a set of measure zero, this algorithm is globally convergent. The rate of convergence is estimated. For higher-order iterations that are constructed using Koenig's theorem, the effect of root multiplicity on the convergence domain is considered and the convergence rate is estimated for this case.

Extending the Convergence Domain of Methods of Linear Interpolation for the Solution of Nonlinear Equations

Solving equations in abstract spaces is important since many problems from diverse disciplines require it. The solutions of these equations cannot be obtained in a form closed. That difficulty forces us to develop ever improving iterative methods. In this paper we improve the applicability of such methods. Our technique is very general and can be used to expand the applicability of other methods. We use two methods of linear interpolation namely the Secant as well as the Kurchatov method. The investigation of Kurchatov’s method is done under rather strict conditions. In this work, using the majorant principle of Kantorovich and our new idea of the restricted convergence domain, we present an improved semilocal convergence of these methods. We determine the quadratical order of convergence of the Kurchatov method and order 1 + 5 2 for the Secant method. We find improved a priori and a posteriori estimations of the method’s error.

Ball Comparison between Three Sixth Order Methods for Banach Space Valued Operators

Three methods of sixth order convergence are tackled for approximating the solution of an equation defined on the finitely dimensional Euclidean space. This convergence requires the existence of derivatives of, at least, order seven. However, only derivatives of order one are involved in such methods. Moreover, we have no estimates on the error distances, conclusions about the uniqueness of the solution in any domain, and the convergence domain is not sufficiently large. Hence, these methods have limited usage. This paper introduces a new technique on a general Banach space setting based only the first derivative and Lipschitz type conditions that allow the study of the convergence. In addition, we find usable error distances as well as uniqueness of the solution. A comparison between the convergence balls of three methods, not possible to drive with the previous approaches, is also given. The technique is possible to use with methods available in literature improving, consequently, their applicability. Several numerical examples compare these methods and illustrate the convergence criteria.