179,113 research outputs found
On the Linear Stability of Splitting Methods
A comprehensive linear stability analysis of splitting methods is carried out by means of a 2 × 2 matrix K(x) with polynomial entries (the stability
matrix) and the stability polynomial p(x) (the trace of K(x) divided by two).
An algorithm is provided for determining the coefficients of all possible time-
reversible splitting schemes for a prescribed stability polynomial. It is shown that p(x) carries essentially all the information needed to construct processed
splitting methods for numerically approximating the evolution of linear systems. By selecting conveniently the stability polynomial, new integrators with
processing for linear equations are built which are orders of magnitude more efficient than other algorithms previously available
Unconditional Stability for Multistep ImEx Schemes: Theory
This paper presents a new class of high order linear ImEx multistep schemes
with large regions of unconditional stability. Unconditional stability is a
desirable property of a time stepping scheme, as it allows the choice of time
step solely based on accuracy considerations. Of particular interest are
problems for which both the implicit and explicit parts of the ImEx splitting
are stiff. Such splittings can arise, for example, in variable-coefficient
problems, or the incompressible Navier-Stokes equations. To characterize the
new ImEx schemes, an unconditional stability region is introduced, which plays
a role analogous to that of the stability region in conventional multistep
methods. Moreover, computable quantities (such as a numerical range) are
provided that guarantee an unconditionally stable scheme for a proposed
implicit-explicit matrix splitting. The new approach is illustrated with
several examples. Coefficients of the new schemes up to fifth order are
provided.Comment: 33 pages, 7 figure
A class of high-order Runge-Kutta-Chebyshev stability polynomials
The analytic form of a new class of factorized Runge-Kutta-Chebyshev (FRKC)
stability polynomials of arbitrary order is presented. Roots of FRKC
stability polynomials of degree are used to construct explicit schemes
comprising forward Euler stages with internal stability ensured through a
sequencing algorithm which limits the internal amplification factors to . The associated stability domain scales as along the real axis.
Marginally stable real-valued points on the interior of the stability domain
are removed via a prescribed damping procedure.
By construction, FRKC schemes meet all linear order conditions; for nonlinear
problems at orders above 2, complex splitting or Butcher series composition
methods are required. Linear order conditions of the FRKC stability polynomials
are verified at orders 2, 4, and 6 in numerical experiments. Comparative
studies with existing methods show the second-order unsplit FRKC2 scheme and
higher order (4 and 6) split FRKCs schemes are efficient for large moderately
stiff problems.Comment: 24 pages, 5 figures. Accepted for publication in Journal of
Computational Physics, 22 Jul 2015. Revise
Application of Operator Splitting Methods in Finance
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
Near conserving energy numerical schemes for two-dimensional coupled seismic wave equations
Two-dimensional coupled seismic waves, satisfying the equations of linear isotropic elasticity, on a rectangular domain with initial conditions and periodic boundary conditions, are considered. A quantity conserved by the solution of the continuous problem is used to check the numerical solution of the problem. Second order spatial derivatives, in the x direction, in the y direction and mixed derivative, are approximated by finite differences on a uniform grid. The ordinary second order in time system obtained is transformed into a first order in time system in the displacement and velocity vectors. For the time integration of this system, second order and fourth order exponential splitting methods, which are geometric integrators, are proposed. These explicit splitting methods are not unconditionally stable and the stability condition for time step and space step ratio is deduced. Numerical experiments displaying the good behavior in the long time integration and the efficiency of the numerical solution are provided.MTM2015-66837-P del Ministerio de EconomÃa y Competitivida
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