4,941 research outputs found
High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions
We present a high-order compact finite difference approach for a rather general class of parabolic partial differential equations with time and space dependent coefficients as well as with mixed second-order derivative terms in n spatial dimensions. Problems of this type arise frequently in computational fluid dynamics and computational finance. We derive general conditions on the coefficients which allow us to obtain a high-order compact scheme which is fourth-order accurate in space and second-order accurate in time. Moreover, we perform a thorough von Neumann stability analysis of the Cauchy problem in two and three spatial dimensions for vanishing mixed derivative terms, and also give partial results for the general case. The results suggest unconditional stability of the scheme. As an application example we consider the pricing of European Power Put Options in the multidimensional Black-Scholes model for two and three underlying assets. Due to the low regularity of typical initial conditions we employ the smoothing operators of Kreiss et al. to ensure high-order convergence of the approximations of the smoothed problem to the true solution
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A HYBRID METHOD FOR STIFF REACTION-DIFFUSION EQUATIONS.
The second-order implicit integration factor method (IIF2) is effective at solving stiff reaction-diffusion equations owing to its nice stability condition. IIF has previously been applied primarily to systems in which the reaction contained no explicitly time-dependent terms and the boundary conditions were homogeneous. If applied to a system with explicitly time-dependent reaction terms, we find that IIF2 requires prohibitively small time-steps, that are relative to the square of spatial grid sizes, to attain its theoretical second-order temporal accuracy. Although the second-order implicit exponential time differencing (iETD2) method can accurately handle explicitly time-dependent reactions, it is more computationally expensive than IIF2. In this paper, we develop a hybrid approach that combines the advantages of both methods, applying IIF2 to reaction terms that are not explicitly time-dependent and applying iETD2 to those which are. The second-order hybrid IIF-ETD method (hIFE2) inherits the lower complexity of IIF2 and the ability to remain second-order accurate in time for large time-steps from iETD2. Also, it inherits the unconditional stability from IIF2 and iETD2 methods for dealing with the stiffness in reaction-diffusion systems. Through a transformation, hIFE2 can handle nonhomogeneous boundary conditions accurately and efficiently. In addition, this approach can be naturally combined with the compact and array representations of IIF and ETD for systems in higher spatial dimensions. Various numerical simulations containing linear and nonlinear reactions are presented to demonstrate the superior stability, accuracy, and efficiency of the new hIFE method
Krylov implicit integration factor discontinuous Galerkin methods on sparse grids for high dimensional reaction-diffusion equations
Computational costs of numerically solving multidimensional partial
differential equations (PDEs) increase significantly when the spatial
dimensions of the PDEs are high, due to large number of spatial grid points.
For multidimensional reaction-diffusion equations, stiffness of the system
provides additional challenges for achieving efficient numerical simulations.
In this paper, we propose a class of Krylov implicit integration factor (IIF)
discontinuous Galerkin (DG) methods on sparse grids to solve reaction-diffusion
equations on high spatial dimensions. The key ingredient of spatial DG
discretization is the multiwavelet bases on nested sparse grids, which can
significantly reduce the numbers of degrees of freedom. To deal with the
stiffness of the DG spatial operator in discretizing reaction-diffusion
equations, we apply the efficient IIF time discretization methods, which are a
class of exponential integrators. Krylov subspace approximations are used to
evaluate the large size matrix exponentials resulting from IIF schemes for
solving PDEs on high spatial dimensions. Stability and error analysis for the
semi-discrete scheme are performed. Numerical examples of both scalar equations
and systems in two and three spatial dimensions are provided to demonstrate the
accuracy and efficiency of the methods. The stiffness of the reaction-diffusion
equations is resolved well and large time step size computations are obtained
Review of Summation-by-parts schemes for initial-boundary-value problems
High-order finite difference methods are efficient, easy to program, scales
well in multiple dimensions and can be modified locally for various reasons
(such as shock treatment for example). The main drawback have been the
complicated and sometimes even mysterious stability treatment at boundaries and
interfaces required for a stable scheme. The research on summation-by-parts
operators and weak boundary conditions during the last 20 years have removed
this drawback and now reached a mature state. It is now possible to construct
stable and high order accurate multi-block finite difference schemes in a
systematic building-block-like manner. In this paper we will review this
development, point out the main contributions and speculate about the next
lines of research in this area
High-order compact finite difference scheme for option pricing in stochastic volatility jump models
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility jump models, e.g. in Bates model. In such models the option price is determined as the solution of a partial integro-differential equation. The scheme is fourth order accurate in space and second order accurate in time. Numerical experiments for the European option pricing problem are presented. We validate the stability of the scheme numerically and compare its performance to standard finite difference and finite element methods. The new scheme outperforms a standard discretisation based on a second-order central finite difference approximation in all our experiments. At the same time, it is very efficient, requiring only one initial -factorisation of a sparse matrix to perform the option price valuation. Compared to finite element approaches, it is very parsimonious in terms of memory requirements and computational effort, since it achieves high-order convergence without requiring additional unknowns, unlike finite element methods with higher polynomial order basis functions. The new high-order compact scheme can also be useful to upgrade existing implementations based on standard finite differences in a straightforward manner to obtain a highly efficient option pricing code
"Mariage des Maillages": A new numerical approach for 3D relativistic core collapse simulations
We present a new 3D general relativistic hydrodynamics code for simulations
of stellar core collapse to a neutron star, as well as pulsations and
instabilities of rotating relativistic stars. It uses spectral methods for
solving the metric equations, assuming the conformal flatness approximation for
the three-metric. The matter equations are solved by high-resolution
shock-capturing schemes. We demonstrate that the combination of a finite
difference grid and a spectral grid can be successfully accomplished. This
"Mariage des Maillages" (French for grid wedding) approach results in high
accuracy of the metric solver and allows for fully 3D applications using
computationally affordable resources, and ensures long term numerical stability
of the evolution. We compare our new approach to two other, finite difference
based, methods to solve the metric equations. A variety of tests in 2D and 3D
is presented, involving highly perturbed neutron star spacetimes and
(axisymmetric) stellar core collapse, demonstrating the ability to handle
spacetimes with and without symmetries in strong gravity. These tests are also
employed to assess gravitational waveform extraction, which is based on the
quadrupole formula.Comment: 29 pages, 16 figures; added more information about convergence tests
and grid setu
High-order conservative finite difference GLM-MHD schemes for cell-centered MHD
We present and compare third- as well as fifth-order accurate finite
difference schemes for the numerical solution of the compressible ideal MHD
equations in multiple spatial dimensions. The selected methods lean on four
different reconstruction techniques based on recently improved versions of the
weighted essentially non-oscillatory (WENO) schemes, monotonicity preserving
(MP) schemes as well as slope-limited polynomial reconstruction. The proposed
numerical methods are highly accurate in smooth regions of the flow, avoid loss
of accuracy in proximity of smooth extrema and provide sharp non-oscillatory
transitions at discontinuities. We suggest a numerical formulation based on a
cell-centered approach where all of the primary flow variables are discretized
at the zone center. The divergence-free condition is enforced by augmenting the
MHD equations with a generalized Lagrange multiplier yielding a mixed
hyperbolic/parabolic correction, as in Dedner et al. (J. Comput. Phys. 175
(2002) 645-673). The resulting family of schemes is robust, cost-effective and
straightforward to implement. Compared to previous existing approaches, it
completely avoids the CPU intensive workload associated with an elliptic
divergence cleaning step and the additional complexities required by staggered
mesh algorithms. Extensive numerical testing demonstrate the robustness and
reliability of the proposed framework for computations involving both smooth
and discontinuous features.Comment: 32 pages, 14 figure, submitted to Journal of Computational Physics
(Aug 7 2009
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