210 research outputs found
Oscillation-free method for semilinear diffusion equations under noisy initial conditions
Noise in initial conditions from measurement errors can create unwanted
oscillations which propagate in numerical solutions. We present a technique of
prohibiting such oscillation errors when solving initial-boundary-value
problems of semilinear diffusion equations. Symmetric Strang splitting is
applied to the equation for solving the linear diffusion and nonlinear
remainder separately. An oscillation-free scheme is developed for overcoming
any oscillatory behavior when numerically solving the linear diffusion portion.
To demonstrate the ills of stable oscillations, we compare our method using a
weighted implicit Euler scheme to the Crank-Nicolson method. The
oscillation-free feature and stability of our method are analyzed through a
local linearization. The accuracy of our oscillation-free method is proved and
its usefulness is further verified through solving a Fisher-type equation where
oscillation-free solutions are successfully produced in spite of random errors
in the initial conditions.Comment: 19 pages, 9 figure
A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options
We present a parallel algorithm for solving backward stochastic differential
equations (BSDEs in short) which are very useful theoretic tools to deal with
many financial problems ranging from option pricing option to risk management.
Our algorithm based on Gobet and Labart (2010) exploits the link between BSDEs
and non linear partial differential equations (PDEs in short) and hence enables
to solve high dimensional non linear PDEs. In this work, we apply it to the
pricing and hedging of American options in high dimensional local volatility
models, which remains very computationally demanding. We have tested our
algorithm up to dimension 10 on a cluster of 512 CPUs and we obtained linear
speedups which proves the scalability of our implementationComment: 25 page
Fourth-order time-stepping for stiff PDEs on the sphere
We present in this paper algorithms for solving stiff PDEs on the unit sphere
with spectral accuracy in space and fourth-order accuracy in time. These are
based on a variant of the double Fourier sphere method in coefficient space
with multiplication matrices that differ from the usual ones, and
implicit-explicit time-stepping schemes. Operating in coefficient space with
these new matrices allows one to use a sparse direct solver, avoids the
coordinate singularity and maintains smoothness at the poles, while
implicit-explicit schemes circumvent severe restrictions on the time-steps due
to stiffness. A comparison is made against exponential integrators and it is
found that implicit-explicit schemes perform best. Implementations in MATLAB
and Chebfun make it possible to compute the solution of many PDEs to high
accuracy in a very convenient fashion
- …