A Numerical scheme to Solve Boundary Value Problems Involving Singular Perturbation

نستخدم المصفوفات العملياتية لمشتقات وانج-بول متعددة الحدود في هذه الدراسة لحل المعادلات التفاضلية الشاذه المضطربة من الدرجة الثانية (WPSODEs) ذات الشروط الحدية. باستخدام مصفوفة كثيرات حدود وانج-بول، يمكن تحويل مشكلة الاضطراب الرئيسية الشاذ إلى أنظمة معادلات جبرية خطية. كما يمكن الحصول على معاملات الحل التقريبي المطلوبة عن طريق حل نظام المعادلات المذكور. وتم استخدام أسلوب الخطاء المتبقي أيضًا لتحسين الخطأ، كما تمت مقارنة النتائج بالطرق المنشورة في عدد من المقالات العلمية. استُخدِمت العديد من الأمثلة لتوضيح موثوقية وفائدة مصفوفات وانج بول العملياتية. طريقة وانج بول لديها القدرة على تحسين النتائج عن طريق تقليل درجة الخطأ بين الحلول التقريبية والدقيقة. أظهرت سلسلة وانج-بول فائدتها في حل أي نموذج واقعي كمعادلات تفاضلية من الدرجة الأولى أو الثانيةThe Wang-Ball polynomials operational matrices of the derivatives are used in this study to solve singular perturbed second-order differential equations (SPSODEs) with boundary conditions. Using the matrix of Wang-Ball polynomials, the main singular perturbation problem is converted into linear algebraic equation systems. The coefficients of the required approximate solution are obtained from the solution of this system. The residual correction approach was also used to improve an error, and the results were compared to other reported numerical methods. Several examples are used to illustrate both the reliability and usefulness of the Wang-Ball operational matrices. The Wang Ball approach has the ability to improve the outcomes by minimizing the degree of error between approximate and exact solutions. The Wang-Ball series has shown its usefulness in solving any real-life scenario model as first- or second-order differential equations (DEs)

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

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

Fitted mesh method for singularly perturbed fourth order differential equation of convection diffusion type with integral boundary condition

This article focuses on a class of fourth-order singularly perturbed convection diffusion equations (SPCDE) with integral boundary conditions (IBC). A numerical method based on a finite difference scheme using Shishkin mesh is presented. The proposed method is close to the first-order convergent. The discrete norm yields an error estimate and theoretical estimations are tested by numerical experiments

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