The Numerical Solution of Fractional Black-Scholes-Schrodinger Equation Using the RBFs Method

In this paper, radial basis functions (RBFs) method was used to solve a fractional Black-Scholes-Schrodinger equation in an option pricing of financial problems. The RBFs method is applied in discretizing a spatial derivative process. The approximation of time fractional derivative is interpreted in the Caputo’s sense by a simple quadrature formula. This RBFs approach was theoretically proved with different problems of two numerical examples: time step arbitrage bubble case and time linear arbitrage bubble case. Then, the numerical results were compared with the semiclassical solution in case of fractional order close to 1. As a result, both numerical examples showed that the option prices from RBFs method satisfy the semiclassical solution.

Why simple quadrature is just as good as Monte Carlo

We motive and calculate Newton–Cotes quadrature integration variance and compare it directly with Monte Carlo (MC) integration variance. We find an equivalence between deterministic quadrature sampling and random MC sampling by noting that MC random sampling is statistically indistinguishable from a method that uses deterministic sampling on a randomly shuffled (permuted) function. We use this statistical equivalence to regularize the form of permissible Bayesian quadrature integration priors such that they are guaranteed to be objectively comparable with MC. This leads to the proof that simple quadrature methods have expected variances that are less than or equal to their corresponding theoretical MC integration variances. Separately, using Bayesian probability theory, we find that the theoretical standard deviations of the unbiased errors of simple Newton–Cotes composite quadrature integrations improve over their worst case errors by an extra dimension independent factor {\propto N^{-\frac{1}{2}}}. This dimension independent factor is validated in our simulations.

Thermocapillary flow between grooved superhydrophobic surfaces: transverse temperature gradients

We consider the thermocapillary motion of a liquid layer which is bounded between two superhydrophobic surfaces, each made up of a periodic array of highly conducting solid slats, with flat bubbles trapped in the grooves between them. Following the recent analysis of the longitudinal problem (Yariv, J. Fluid Mech., vol. 855, 2018, pp. 574–594), we address here the transverse problem, where the macroscopic temperature gradient that drives the flow is applied perpendicular to the grooves, with the goal of calculating the volumetric flux between the two surfaces. We focus upon the situation where the slats separating the grooves are long relative to the groove-array period, for which case the temperature in the solid portions of the superhydrophobic plane is piecewise uniform. This scenario, which was investigated numerically by Baier et al. (Phys. Rev. E, vol. 82 (3), 2010, 037301), allows for a surprising analogy between the harmonic conjugate of the temperature field in the present problem and the unidirectional velocity in a comparable longitudinal pressure-driven flow problem over an interchanged boundary. The main body of the paper is concerned with the limit of deep channels, where the problem reduces to the calculation of the heat transport and flow about a single surface and the associated ‘slip’ velocity at large distance from that surface. Making use of Lorentz’s reciprocity, we obtain that velocity as a simple quadrature, providing the analogue to the expression obtained by Baier et al. (2010) in the comparable longitudinal problem. The rest of the paper is devoted to the diametric limit of shallow channels, which is analysed using a Hele-Shaw approximation, and the singular limit of small solid fractions, where we find a logarithmic scaling of the flux with the solid fraction. The latter two limits do not commute.

ON FULLY DISCRETE COLLOCATION METHODS FOR SOLVING WEAKLY SINGULAR INTEGRO‐DIFFERENTIAL EQUATIONS

In order to find approximate solutions of Volterra and Fredholm integro‐differential equations by collocation methods it is necessary to compute certain integrals that determine the required algebraic systems. Those integrals usually can not be computed exactly and if the kernels of the integral operators are not smooth, simple quadrature formula approximations of the integrals do not preserve the convergence rate of the collocation method. In the present paper fully discrete analogs of collocation methods where non‐smooth integrals are replaced by appropriate quadrature formulas approximations, are considered and corresponding error estimates are derived. Presented numerical examples display that theoretical results are in a good accordance with the actual convergence rates of the proposed algorithms.