Cubic B-spline collocation method for coupled system of ordinary differential equations with various boundary conditions

This paper is concerned with collocation approach using cubic B-spline to solve coupled system of boundary value problems with various boundary conditions. The collocation equations are methodically derived using cubic B splines, for problems with Dirichlet data and an iterative method with assured convergence is described to solve the resulting system of algebraic equations. Problems with Cauchy or mixed boundary condition have been converted into series of Dirichlet problems using the bisection method. Nonlinear problem is linearized using quasilinearization to be handled by our method. Fourth order equation is converted into a coupled second order equations and solved by the proposed method . Several illustrative examples are presented with their error norms and order of convergence.Publisher's Versio

Numerical Solution of a Class of Nonlinear System of Second-Order Boundary-Value Problems: a Fourth-Order Cubic Spline Approach

A cubic B-spline collocation approach is described and presented for the numerical solution of an extended system of linear and nonlinear second-order boundary-value problems. The system, whether regular or singularly perturbed, is tackled using a spline collocation approach constructed over uniform or non-uniform meshes. The rate of convergence is discussed theoretically and verified numerically to be of fourth-order. The efficiency and applicability of the technique are demonstrated by applying the scheme to a number of linear and nonlinear examples. The numerical solutions are contrasted with both analytical and other existing numerical solutions that exist in the literature. The numerical results demonstrate that this method is superior as it yields more accurate solutions

Solving Boundary Value Problems for Second Order Singularly Perturbed Delay Differential Equations by ε-Approximate Fixed-Point Method

In this paper, the boundary value problem for second order singularly perturbed delay differential equation is reduced to a fixed-point problem v = Av with a properly chosen (generally nonlinear) operator A. The unknown fixed-point v is approximated by cubic spline vh defined by its values vi = vh (ti) at grid points ti, i = 0, 1, . . . , N. The necessary for construction the cubic spline and missing the first derivatives at the boundary are replaced by the derivatives of the corresponding interpolating polynomials matching the grid points values nearest to the boundary points. An approximation of the solution is obtained by minimization techniques applied to a function whose arguments are the grid point values of the sought spline. The results of numerical experiments with two boundary value problems for the second order singularly perturbed delay differential equations as well as their comparison with the results of other methods employed by other authors are also provided

Numerical singular perturbation approaches based on spline approximation methods for solving problems in computational finance

Philosophiae Doctor - PhDOptions are a special type of derivative securities because their values are derived from the value of some underlying security. Most options can be grouped into either of the two categories: European options which can be exercised only on the expiration date, and American options which can be exercised on or before the expiration date. American options are much harder to deal with than European ones. The reason being the optimal exercise policy of these options which led to free boundary problems. Ever since the seminal work of Black and Scholes [J. Pol. Bean. 81(3) (1973), 637-659], the differential equation approach in pricing options has attracted many researchers. Recently, numerical singular perturbation techniques have been used extensively for solving many differential equation models of sciences and engineering. In this thesis, we explore some of those methods which are based on spline approximations to solve the option pricing problems. We show a systematic construction and analysis of these methods to solve some European option problems and then extend the approach to solve problems of pricing American options as well as some exotic options. Proposed methods are analyzed for stability and convergence. Thorough numerical results are presented and compared with those seen in the literature

Numerical singular perturbation approaches based on spline approximation methods for solving problems in computational finance

Philosophiae Doctor - PhDOptions are a special type of derivative securities because their values are derived from the value of some underlying security. Most options can be grouped into either of the two categories: European options which can be exercised only on the expiration date, and American options which can be exercised on or before the expiration date. American options are much harder to deal with than European ones. The reason being the optimal exercise policy of these options which led to free boundary problems. Ever since the seminal work of Black and Scholes [J. Pol. Econ. 81(3) (1973), 637-659], the differential equation approach in pricing options has attracted many researchers. Recently, numerical singular perturbation techniques have been used extensively for solving many differential equation models of sciences and engineering. In this thesis, we explore some of those methods which are based on spline approximations to solve the option pricing problems. We show a systematic construction and analysis of these methods to solve some European option problems and then extend the approach to solve problems of pricing American options as well as some exotic options. Proposed methods are analyzed for stability and convergence. Thorough numerical results are presented and compared with those seen in the literature.South Afric

Initial-value Technique For Singularly Perturbed Two Point Boundary Value Problems Via Cubic Spline

A recent method for solving singular perturbation problems is examined. It is designed for the applied mathematician or engineer who needs a convenient, useful tool that requires little preparation and can be readily implemented using little more than an industry-standard software package for spreadsheets. In this paper, we shall examine singularly perturbed two point boundary value problems with the boundary layer at one end point. An initial-value technique is used for its solution by replacing the problem with an asymptotically equivalent first order problem, which is, in turn, solved as an initial value problem by using cubic splines. Numerical examples are provided to show that the method presented provides a fine approximation of the exact solution. The first chapter provides some background material to the cubic spline and boundary value problems. The works of several authors and a comparison of different solution methods are also discussed. Finally, some background into the specific singularly perturbed boundary value problems is introduced. The second chapter contains calculations and derivations necessary for the cubic spline and the initial value technique which are used in the solutions to the boundary value problems. The third chapter contains some worked numerical examples and the numerical data obtained along with most of the tables and figures that describe the solutions. The thesis concludes with some reflections on the results obtained and some discussion of the error bounds on the calculated approximations to the exact solutions for the numeric examples discusse

The Numerical Investigations of Non-Polynomial Spline for Solving Fractional Differential Equations

We present a crossing approach based on the new construction of non-polynomial spline function to investigate the numerical solution of the fractional differential equations. We find the accuracy of the spline method and to presenting the completion of non-polynomial spline two examples for problems are used. To clarify, we present the numerical computations that can be used to solve difficult problems while the results are found and got to be in good error estimation with comparing exact solutions

A Powerful Robust Cubic Hermite Collocation Method for the Numerical Calculations and Simulations of the Equal Width Wave Equation

In this article, non-linear Equal Width-Wave (EW) equation will be numerically solved . For this aim, the non-linear term in the equation is firstly linearized by Rubin-Graves type approach. After that, to reduce the equation into a solvable discretized linear algebraic equation system which is the essential part of this study, the Crank-Nicolson type approximation and cubic Hermite collocation method are respectively applied to obtain the integration in the temporal and spatial domain directions. To be able to illustrate the validity and accuracy of the proposed method, six test model problems that is single solitary wave, the interaction of two solitary waves, the interaction of three solitary waves, the Maxwellian initial condition, undular bore and finally soliton collision will be taken into consideration and solved. Since only the single solitary wave has an analytical solution among these solitary waves, the error norms Linf and L2 are computed and compared to a few of the previous works available in the literature. Furthermore, the widely used three invariants I1, I2 and I3 of the proposed problems during the simulations are computed and presented. Beside those, the relative changes in those invariants are presented. Also, a comparison of the error norms Linf and L2 and these invariants obviously shows that the proposed scheme produces better and compatible results than most of the previous works using the same parameters. Finally, von Neumann analysis has shown that the present scheme is unconditionally stable.Comment: 25 pages, 9 tables, 6 figure