Stability of Runge–Kutta methods for the alternately advanced and retarded differential equations with piecewise continuous arguments

AbstractThis paper deals with the numerical properties of Runge–Kutta methods for the solution of u′(t)=au(t)+a0u([t+12]). It is shown that the Runge–Kutta method can preserve the convergence order. The necessary and sufficient conditions under which the analytical stability region is contained in the numerical stability region are obtained. It is interesting that the θ-methods with 0⩽θ<12 are asymptotically stable. Some numerical experiments are given

Convergence and Stability in Collocation Methods of Equation u

This paper is concerned with the convergence, global superconvergence, local superconvergence, and stability of collocation methods for u′(t)=au(t)+bu([t]). The optimal convergence order and superconvergence order are obtained, and the stability regions for the collocation methods are determined. The conditions that the analytic stability region is contained in the numerical stability region are obtained, and some numerical experiments are given

Stability of Analytic and Numerical Solutions for Differential Equations with Piecewise Continuous Arguments

In this paper, the asymptotic stability of the analytic and numerical solutions for differential equations with piecewise continuous arguments is investigated by using Lyapunov methods. In particular, the linear equations with variable coefficients are considered. The stability conditions of the analytic solutions of those equations and the numerical solutions of the -methods are obtained. Some examples are illustrated

Oscillation analysis of numerical solutions for nonlinear delay differential equations of population dynamics

This paper is concerned with oscillations of numerical solutions for the nonlinear delay differential equation of population dynamics. The equation proposed by Mackey and Glass for a ”dynamic disease” involves respiratory disorders and its solution resembles the envelope of lung ventilation for pathological breathing, called Cheyne-Stokes respiration. Some conditions under which the numerical solution is oscillatory are obtained. The properties of non-oscillatory numerical solutions are investigated. To verify our results, we give numerical experiments

Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation

A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. The proof is based on a careful study of the discretization matrices and on an abstract convergence result due to Barles and Souganides.High-order compact finite differences, numerical convergence, viscosity solution, financial derivatives