Numerical Methods for the Fractional Laplacian: a Finite Difference-quadrature Approach

The fractional Laplacian $(-\Delta)^{\alpha/2}$ is a non-local operator which depends on the parameter $\alpha$ and recovers the usual Laplacian as $\alpha \to 2$. A numerical method for the fractional Laplacian is proposed, based on the singular integral representation for the operator. The method combines finite difference with numerical quadrature, to obtain a discrete convolution operator with positive weights. The accuracy of the method is shown to be $O(h^{3-\alpha})$. Convergence of the method is proven. The treatment of far field boundary conditions using an asymptotic approximation to the integral is used to obtain an accurate method. Numerical experiments on known exact solutions validate the predicted convergence rates. Computational examples include exponentially and algebraically decaying solution with varying regularity. The generalization to nonlinear equations involving the operator is discussed: the obstacle problem for the fractional Laplacian is computed.Comment: 29 pages, 9 figure

Analytic results and weighted Monte Carlo simulations for CDO pricing

We explore the possibilities of importance sampling in the Monte Carlo pricing of a structured credit derivative referred to as Collateralized Debt Obligation (CDO). Modeling a CDO contract is challenging, since it depends on a pool of (typically about 100) assets, Monte Carlo simulations are often the only feasible approach to pricing. Variance reduction techniques are therefore of great importance. This paper presents an exact analytic solution using Laplace-transform and MC importance sampling results for an easily tractable intensity-based model of the CDO, namely the compound Poissonian. Furthermore analytic formulae are derived for the reweighting efficiency. The computational gain is appealing, nevertheless, even in this basic scheme, a phase transition can be found, rendering some parameter regimes out of reach. A model-independent transform approach is also presented for CDO pricing.Comment: 12 pages, 9 figure

Resistive jet simulations extending radially self-similar magnetohydrodynamic models

Numerical simulations with self-similar initial and boundary conditions provide a link between theoretical and numerical investigations of jet dynamics. We perform axisymmetric resistive magnetohydrodynamic (MHD) simulations for a generalised solution of the Blandford & Payne type, and compare them with the corresponding analytical and numerical ideal-MHD solutions. We disentangle the effects of the numerical and physical diffusivity. The latter could occur in outflows above an accretion disk, being transferred from the underlying disk into the disk corona by MHD turbulence (anomalous turbulent diffusivity), or as a result of ambipolar diffusion in partially ionized flows. We conclude that while the classical magnetic Reynolds number $R_{\rm m}$ measures the importance of resistive effects in the induction equation, a new introduced number, \rbeta=(\beta/2)R_{\rm m} with $\beta$ the plasma beta, measures the importance of the resistive effects in the energy equation. Thus, in magnetised jets with $\beta<2$, when \rbeta \la 1 resistive effects are non-negligible and affect mostly the energy equation. The presented simulations indeed show that for a range of magnetic diffusivities corresponding to \rbeta \ga 1 the flow remains close to the ideal-MHD self-similar solution.Comment: Accepted for publication in MNRA