Adaptive Wavelet Precise Integration Method for Nonlinear Black-Scholes Model Based on Variational Iteration Method

An adaptive wavelet precise integration method (WPIM) based on the variational iteration method (VIM) for Black-Scholes model is proposed. Black-Scholes model is a very useful tool on pricing options. First, an adaptive wavelet interpolation operator is constructed which can transform the nonlinear partial differential equations into a matrix ordinary differential equations. Next, VIM is developed to solve the nonlinear matrix differential equation, which is a new asymptotic analytical method for the nonlinear differential equations. Third, an adaptive precise integration method (PIM) for the system of ordinary differential equations is constructed, with which the almost exact numerical solution can be obtained. At last, the famous Black-Scholes model is taken as an example to test this new method. The numerical result shows the method's higher numerical stability and precision

HPM-Based Dynamic Sparse Grid Approach for Perona-Malik Equation

The Perona-Malik equation is a famous image edge-preserved denoising model, which is represented as a nonlinear 2-dimension partial differential equation. Based on the homotopy perturbation method (HPM) and the multiscale interpolation theory, a dynamic sparse grid method for Perona-Malik was constructed in this paper. Compared with the traditional multiscale numerical techniques, the proposed method is independent of the basis function. In this method, a dynamic choice scheme of external grid points is proposed to eliminate the artifacts introduced by the partitioning technique. In order to decrease the calculation amount introduced by the change of the external grid points, the Newton interpolation technique is employed instead of the traditional Lagrange interpolation operator, and the condition number of the discretized matrix different equations is taken into account of the choice of the external grid points. Using the new numerical scheme, the time complexity of the sparse grid method for the image denoising is decreased to O(4J+2j) from O(43J), (j≪J). The experiment results show that the dynamic choice scheme of the external gird points can eliminate the boundary effect effectively and the efficiency can also be improved greatly comparing with the classical interval wavelets numerical methods

Coupling technique of variational iteration and homotopy perturbation methods for nonlinear matrix differential equations

AbstractThe variational iteration method proposed by Ji-Huan He is a new analytical method to solve nonlinear equations. This paper applies the method to search for exact analytical solutions of linear differential equations with constant coefficients. Furthermore, based on the precise integration method, a coupling technique of the variational iteration method and homotopy perturbation method is proposed to solve nonlinear matrix differential equations. A dynamic system and Burgers equation are taken as examples to illustrate its effectiveness and convenience