2,007 research outputs found

    Numerical investigation of the parabolic mixed-derivative diffusion equation via alternating direction implicit methods

    Get PDF
    A dissertation submitted to the Faculty of Science, University of the Witwatersrand, in fulfillment of the requirements for the degree of Master of Science, May 14, 2013.In this dissertation, we investigate the parabolic mixed derivative diffusion equation modeling the viscous and viscoelastic effects in a non-Newtonian viscoelastic fluid. The model is analytically considered using Fourier and Laplace transformations. The main focus of the dissertation, however, is the implementation of the Peaceman-Rachford Alternating Direction Implicit method. The one-dimensional parabolic mixed derivative diffusion equation is extended to a two-dimensional analog. In order to do this, the two-dimensional analog is solved using a Crank-Nicholson method and implemented according to the Peaceman- Rachford ADI method. The behaviour of the solution of the viscoelastic fluid model is analysed by investigating the effects of inertia and diffusion as well as the viscous behaviour, subject to the viscosity and viscoelasticity parameters. The two-dimensional parabolic diffusion equation is then implemented with a high-order method to unveil more accurate solutions. An error analysis is executed to show the accuracy differences between the numerical solutions of the general ADI and high-order compact methods. Each of the methods implemented in this dissertation are investigated via the von-Neumann stability analysis to prove stability under certain conditions

    Application of Operator Splitting Methods in Finance

    Full text link
    Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or multidimensional parabolic problems of the convection-diffusion type and generalizations thereof. An overview of various operator splitting methods is presented for the efficient numerical solution of these problems. Splitting schemes of the Alternating Direction Implicit (ADI) type are discussed for multidimensional problems, e.g. given by stochastic volatility (SV) models. For jump models Implicit-Explicit (IMEX) methods are considered which efficiently treat the nonlocal jump operator. For American options an easy-to-implement operator splitting method is described for the resulting linear complementarity problems. Numerical experiments are presented to illustrate the actual stability and convergence of the splitting schemes. Here European and American put options are considered under four asset price models: the classical Black-Scholes model, the Merton jump-diffusion model, the Heston SV model, and the Bates SV model with jumps

    ADI splitting schemes for a fourth-order nonlinear partial differential equation from image processing

    Get PDF
    We present directional operator splitting schemes for the numerical solution of a fourth-order, nonlinear partial differential evolution equation which arises in image processing. This equation constitutes the H−1-gradient flow of the total variation and represents a prototype of higher-order equations of similar type which are popular in imaging for denoising, deblurring and inpainting problems. The efficient numerical solution of this equation is very challenging due to the stiffness of most numerical schemes. We show that the combination of directional splitting schemes with implicit time-stepping provides a stable and computationally cheap numerical realisation of the equation

    High order operator splitting methods based on an integral deferred correction framework

    Full text link
    Integral deferred correction (IDC) methods have been shown to be an efficient way to achieve arbitrary high order accuracy and possess good stability properties. In this paper, we construct high order operator splitting schemes using the IDC procedure to solve initial value problems (IVPs). We present analysis to show that the IDC methods can correct for both the splitting and numerical errors, lifting the order of accuracy by rr with each correction, where rr is the order of accuracy of the method used to solve the correction equation. We further apply this framework to solve partial differential equations (PDEs). Numerical examples in two dimensions of linear and nonlinear initial-boundary value problems are presented to demonstrate the performance of the proposed IDC approach.Comment: 33 pages, 22 figure

    A compressible solution of the Navier-Stokes equations for turbulent flow about an airfoil

    Get PDF
    A compressible time dependent solution of the Navier-Stokes equations including a transition turbulence model is obtained for the isolated airfoil flow field problem. The equations are solved by a consistently split linearized block implicit scheme. A nonorthogonal body-fitted coordinate system is used which has maximum resolution near the airfoil surface and in the region of the airfoil leading edge. The transition turbulence model is based upon the turbulence kinetic energy equation and predicts regions of laminar, transitional, and turbulent flow. Mean flow field and turbulence field results are presented for an NACA 0012 airfoil at zero and nonzero incidence angles of Reynolds number up to one million and low subsonic Mach numbers
    corecore