Positivity-preserving scheme for two-dimensional advection-diffusion equations including mixed derivatives

In this work, we propose a positivity-preserving scheme for solving two-dimensional advection-diffusion equations including mixed derivative terms, in order to improve the accuracy of lower-order methods. The solution to these equations, in the absence of mixed derivatives, has been studied in detail, while positivity-preserving solutions to mixed derivative terms have received much less attention. A two-dimensional diffusion equation, for which the analytical solution is known, is solved numerically to show the applicability of the scheme. It is further applied to the Fokker-Planck collision operator in two-dimensional cylindrical coordinates under the assumption of local thermal equilibrium. For a thermal equilibration problem, it is shown that the scheme conserves particle number and energy, while the preservation of positivity is ensured and the steady-state solution is the Maxwellian distribution. Keywords: Advection-diusion, Fokker-Planck equation, low-order positivity-preserving schem

Implicit High-Order Flux Reconstruction Solver for High-Speed Compressible Flows

The present paper addresses the development and implementation of the first high-order Flux Reconstruction (FR) solver for high-speed flows within the open-source COOLFluiD (Computational Object-Oriented Libraries for Fluid Dynamics) platform. The resulting solver is fully implicit and able to simulate compressible flow problems governed by either the Euler or the Navier-Stokes equations in two and three dimensions. Furthermore, it can run in parallel on multiple CPU-cores and is designed to handle unstructured grids consisting of both straight and curved edged quadrilateral or hexahedral elements. While most of the implementation relies on state-of-the-art FR algorithms, an improved and more case-independent shock capturing scheme has been developed in order to tackle the first viscous hypersonic simulations using the FR method. Extensive verification of the FR solver has been performed through the use of reproducible benchmark test cases with flow speeds ranging from subsonic to hypersonic, up to Mach 17.6. The obtained results have been favorably compared to those available in literature. Furthermore, so-called super-accuracy is retrieved for certain cases when solving the Euler equations. The strengths of the FR solver in terms of computational accuracy per degree of freedom are also illustrated. Finally, the influence of the characterizing parameters of the FR method as well as the the influence of the novel shock capturing scheme on the accuracy of the developed solver is discussed

Discrete Lie Advection of Differential Forms

In this paper, we present a numerical technique for performing Lie advection of arbitrary differential forms. Leveraging advances in high-resolution finite volume methods for scalar hyperbolic conservation laws, we first discretize the interior product (also called contraction) through integrals over Eulerian approximations of extrusions. This, along with Cartan's homotopy formula and a discrete exterior derivative, can then be used to derive a discrete Lie derivative. The usefulness of this operator is demonstrated through the numerical advection of scalar fields and 1-forms on regular grids.Comment: Accepted version; to be published in J. FoC

Conditional full stability of positivity-preserving finite difference scheme for diffusion-advection-reaction models

The matter of the stability for multidimensional diffusion-advection-reaction problems treated with the semi-discretization method is remaining challenge because when all the stepsizes tend simultaneously to zero the involved size of the problem grows without bounds. Solution of such problems is constructed by starting with a semi-discretization approach followed by a full discretization using exponential time differencing and matrix quadrature rules. Analysis of the time variation of the numerical solution with respect to previous time level together with the use of logarithmic norm of matrices is the basis of the stability result. Sufficient stability conditions on stepsizes, that also guarantee positivity and boundedness of the solution, are found. Numerical examples in different fields prove its competitiveness with other relevant methods.This work has been partially supported by the Ministerio de Economía y Competitividad Spanish grant MTM2017-89664-P

An ETD method for American options under the Heston model

A numerical method for American options pricing on assets under the Heston stochastic volatility model is developed. A preliminary transformation is applied to remove the mixed derivative term avoiding known numerical drawbacks and reducing computational costs. Free boundary is treated by the penalty method. Transformed nonlinear partial differential equation is solved numerically by using the method of lines. For full discretization the exponential time differencing method is used. Numerical analysis establishes the stability and positivity of the proposed method. The numerical convergence behaviour and effectiveness are investigated in extensive numerical experiments.This work has been supported by the Spanish Ministerio de Economía, Industria y Competitividad (MINECO), the Agencia Estatal de Investigación (AEI) and Fondo Europeo de Desarrollo Regional (FEDER UE) grant MTM2017-89664-P