This paper provides a study on the stability and time-step constraints of solving the linearized Korteweg-de Vries(KdV)equation,using implicit-explicit(IMEX)Runge-Kutta(RK)time integration methods combined with either...This paper provides a study on the stability and time-step constraints of solving the linearized Korteweg-de Vries(KdV)equation,using implicit-explicit(IMEX)Runge-Kutta(RK)time integration methods combined with either finite difference(FD)or local discontinuous Galerkin(DG)spatial discretization.We analyze the stability of the fully discrete scheme,on a uniform mesh with periodic boundary conditions,using the Fourier method.For the linearized KdV equation,the IMEX schemes are stable under the standard Courant-Friedrichs-Lewy(CFL)conditionτ≤λh.Here,λis the CFL number,τis the time-step size,and h is the spatial mesh size.We study several IMEX schemes and characterize their CFL number as a function ofθ=d/h^(2)with d being the dispersion coefficient,which leads to several interesting observations.We also investigate the asymptotic behaviors of the CFL number for sufficiently refined meshes and derive the necessary conditions for the asymptotic stability of the IMEX-RK methods.Some numerical experiments are provided in the paper to illustrate the performance of IMEX methods under different time-step constraints.展开更多
This paper considers pricing European options under the well-known of SVJ model of Bates and related computational methods. According to the no-arbitrage principle, we first derive a partial differential equation that...This paper considers pricing European options under the well-known of SVJ model of Bates and related computational methods. According to the no-arbitrage principle, we first derive a partial differential equation that the value of any European contingent claim should satisfy, where the asset price obeys the SVJ model. This equation is numerically solved by using the implicit- explicit backward difference method and time semi-discretization. In order to explain the validity of our method, the stability of time semi-discretization scheme is also proved. Finally, we use a simulation example to illustrate the efficiency of the method.展开更多
By using the Feynman-Kac formula and combining with Itˆo-Taylor expansion and finite difference approximation,we first develop an explicit third order onestep method for solving decoupled forward backward stochastic d...By using the Feynman-Kac formula and combining with Itˆo-Taylor expansion and finite difference approximation,we first develop an explicit third order onestep method for solving decoupled forward backward stochastic differential equations.Then based on the third order one,an explicit fourth order method is further proposed.Several numerical tests are also presented to illustrate the stability and high order accuracy of the proposed methods.展开更多
基金supported by the NSF under Grant DMS-2208391sponsored by the NSF under Grant DMS-1753581.
文摘This paper provides a study on the stability and time-step constraints of solving the linearized Korteweg-de Vries(KdV)equation,using implicit-explicit(IMEX)Runge-Kutta(RK)time integration methods combined with either finite difference(FD)or local discontinuous Galerkin(DG)spatial discretization.We analyze the stability of the fully discrete scheme,on a uniform mesh with periodic boundary conditions,using the Fourier method.For the linearized KdV equation,the IMEX schemes are stable under the standard Courant-Friedrichs-Lewy(CFL)conditionτ≤λh.Here,λis the CFL number,τis the time-step size,and h is the spatial mesh size.We study several IMEX schemes and characterize their CFL number as a function ofθ=d/h^(2)with d being the dispersion coefficient,which leads to several interesting observations.We also investigate the asymptotic behaviors of the CFL number for sufficiently refined meshes and derive the necessary conditions for the asymptotic stability of the IMEX-RK methods.Some numerical experiments are provided in the paper to illustrate the performance of IMEX methods under different time-step constraints.
文摘This paper considers pricing European options under the well-known of SVJ model of Bates and related computational methods. According to the no-arbitrage principle, we first derive a partial differential equation that the value of any European contingent claim should satisfy, where the asset price obeys the SVJ model. This equation is numerically solved by using the implicit- explicit backward difference method and time semi-discretization. In order to explain the validity of our method, the stability of time semi-discretization scheme is also proved. Finally, we use a simulation example to illustrate the efficiency of the method.
基金supported by the NSF of China(No.12001539)the NSF of Hunan Province(No.2020JJ5647)China Postdoctoral Science Foundation(No.2019TQ0073).
文摘By using the Feynman-Kac formula and combining with Itˆo-Taylor expansion and finite difference approximation,we first develop an explicit third order onestep method for solving decoupled forward backward stochastic differential equations.Then based on the third order one,an explicit fourth order method is further proposed.Several numerical tests are also presented to illustrate the stability and high order accuracy of the proposed methods.
