A class of finite volume methods is developed for pricing either European or American options under jump-diffusion models based on a linear finite element space. An easy to implement linear interpolation technique is derived to evaluate the integral term involved, and numerical analyses show that the full discrete system matrices are M-matrices. For European option pricing, the resulting dense linear systems are solved by the generalised minimal residual (GMRES) method; while for American options the resulting linear complementarity problems (LCP) are solved using the modulus-based successive overrelaxation (MSOR) method, where the H+-matrix property of the system matrix guarantees convergence. Numerical results are presented to demonstrate the accuracy, efficiency and robustness of these methods.

The numerical solution of the time-fractional sub-diffusion equation on an unbounded domain in two-dimensional space is considered, where a circular artificial boundary is introduced to divide the unbounded domain into a bounded computational domain and an unbounded exterior domain. The local artificial boundary conditions for the fractional sub-diffusion equation are designed on the circular artificial boundary by a joint Laplace transform and Fourier series expansion, and some auxiliary variables are introduced to circumvent high-order derivatives in the artificial boundary conditions. The original problem defined on the unbounded domain is thus reduced to an initial boundary value problem on a bounded computational domain. A finite difference and L1 approximation are applied for the space variables and the Caputo time-fractional derivative, respectively. Two numerical examples demonstrate the performance of the proposed method.

Singular systems simultaneously capture the dynamics and algebraic constraints in many practical applications. Output feedback admissible control for singular systems through a delta operator method is considered in this article. Two novel admissibility conditions, derived for the singular delta operator system (SDOS) from a singular continuous system through sampling, can not only produce unified admissibility for both continuous and discrete singular systems but also practical procedures. To solve the problem of output feedback admissible control for the SDOS, an existence condition and design procedure is given for the determination of a physically realisable observer for the state estimation, and then a suitable state-feedback-like admissible controller design based on the observer is developed. All of the conditions presented are necessary and sufficient, involving strict linear matrix inequalities (LMI) with feasible solutions obtained with low computational costs. Numerical examples illustrate our approach.

A nonlinear mathematical model for innovation diffusion is proposed. The system of ordinary differential equations incorporates variable external influences (the cumulative density of marketing efforts), variable internal influences (the cumulative density of word of mouth) and a logistically growing human population (the variable potential consumers). The change in population density is due to various demographic processes such as intrinsic growth rate, emigration, death rate etc. Thus the problem involves two dynamic variables viz. a non-adopter population density and an adopter population density. The model is analysed qualitatively using the stability theory of differential equations, with the help of the corresponding characteristic equation of the system. The interior equilibrium point can be stable for all time delays to a critical value, beyond which the system becomes unstable and a Hopf bifurcation occurs at a second critical value. Employing normal form theory and a centre manifold theorem applicable to functional differential equations, we derive some explicit formulas determining the stability, the direction and other properties of the bifurcating periodic solutions. Our numerical simulations show that the system behaviour can become extremely complicated as the time delay increases, with a stable interior equilibrium point leading to a limit cycle with one local maximum and minimum per cycle (Hopf bifurcation), then limit cycles with more local maxima and minima per cycle, and finally chaotic solutions.

In this paper, a finite difference algorithm using a three-layer approximation for the vertical flow region to solve the 2D Euler equations is considered. In this algorithm, the pressure is split into hydrostatic and hydrodynamic parts, and the predictor-corrector procedure is applied. In the predictor step, the momentum hydrostatic model is formulated. In the corrector step, the hydrodynamic pressure is accommodated after solving the Laplace equation using the Successive Over Relaxation (SOR) iteration method. The resulting algorithm is first tested to simulate a standing wave over an intermediate constant depth. Dispersion relation of the scheme is derived, and it is shown to agree with the analytical dispersion relation for kd < π with 94% accuracy. The second test case is a solitary wave simulation. Our computed solitary wave propagates with constant velocity, undisturbed in shape, and confirm the analytical solitary wave. Finally, the scheme is tested to simulate the appearance of the undular bore. The result shows a good agreement with the result from the finite volume scheme for the Boussinesq-type model by Soares-Frazão and Guinot (2008).

In this paper we consider the computation of some eigenpairs with smallest eigenvalues in modulus of large-scale polynomial eigenvalue problem. Recently, a partially orthogonal projection method and its refinement scheme were presented for solving the polynomial eigenvalue problem. The methods preserve the structures and properties of the original polynomial eigenvalue problem. Implicitly updating the starting vector and constructing better projection subspace, we develop an implicitly restarted version of the partially orthogonal projection method. Combining the implicit restarting strategy with the refinement scheme, we present an implicitly restarted refined partially orthogonal projection method. In order to avoid the situation that the converged eigenvalues converge repeatedly in the later iterations, we propose a novel explicit non-equivalence low-rank deflation technique. Finally some numerical experiments show that the implicitly restarted refined partially orthogonal projection method with the explicit non-equivalence low-rank deflation technique is efficient and robust.

Admissible regions for higher-order finite volume method (FVM) grids are considered. A new Hermite quintic FVM and a new hybrid quintic FVM are constructed to solve elliptic boundary value problems, and the corresponding admissible regions are investigated. A sufficient condition for the uniform local-ellipticity of the new hybrid quintic FVM is obtained when its admissible region is known. In addition, the admissible regions for a large number of higher-order FVMs are provided. For the same class of FVM (Lagrange, Hermite or hybrid), the higher order FVM has a smaller admissible region such that stronger geometric restrictions are required to guarantee its uniform local-ellipticity.

The semilocal convergence of a third-order Newton-like method for solving nonlinear equations is considered. Under a weak condition (the so-called γ-condition) on the derivative of the nonlinear operator, we establish a new semilocal convergence theorem for the Newton-like method and also provide an error estimate. Some numerical examples show the applicability and efficiency of our result, in comparison to other semilocal convergence theorems.

A fully discrete A-ϕ finite element scheme for a nonlinear model of type-II superconductors is proposed and analyzed. The nonlinearity is due to a field dependent conductivity with the regularized power-law form. The challenge of this model is the error estimate for the nonlinear term under the time derivative. Applying the backward Euler method in time discretisation, the well-posedness of the approximation problem is given based on the theory of monotone operators. The fully discrete system is derived by standard finite element method. The error estimate is suboptimal in time and space.

For symmetric eigenvalue problems, we constructed a three-term recurrence polynomial filter by means of Chebyshev polynomials. The new filtering technique does not need to solve linear systems and only needs matrix-vector products. It is a memory conserving filtering technique for its three-term recurrence relation. As an application, we use this filtering strategy to the Davidson method and propose the filtered-Davidson method. Through choosing suitable shifts, this method can gain cubic convergence rate locally. Theory and numerical experiments show the efficiency of the new filtering technique.

Exponential additive Runge-Kutta methods for solving semi-linear equations are discussed. Related order conditions and stability properties for both explicit and implicit schemes are developed, according to the dimension of the coefficients in the linear terms. Several examples illustrate our theoretical results.

We consider the second order nonlinear ordinary differential equation u″ (t) = u1+α (α > 0) with positive initial data u(0) = a0, u′(0) = a1, whose solution becomes unbounded in a finite time T. The finite time T is called the blow-up time. Since finite difference schemes with uniform meshes can not reproduce such a phenomenon well, adaptively-defined grids are applied. Convergence with mesh sizes of certain smallness has been considered before. However, more iterations are required to obtain an approximate blow-up time if smaller meshes are applied. As a consequence, we consider in this paper a finite difference scheme with a rather larger grid size and show the convergence of the numerical solution and the numerical blow-up time. Application to the nonlinear wave equation is also discussed.

In this paper, we consider two innovative structured matrices, CUPL-Toeplitz matrix and CUPL-Hankel matrix. The inverses of CUPL-Toeplitz and CUPL-Hankel matrices can be expressed by the Gohberg-Heinig type formulas, and the stability of the inverse matrices is verified in terms of 1-, ∞- and 2-norms, respectively. In addition, two algorithms for the inverses of CUPL-Toeplitz and CUPL-Hankel matrices are given and examples are provided to verify the feasibility of these algorithms.

We present a JASMIN-based two-dimensional parallel implementation of an adaptive combined preconditioner for the solution of linear problems arising in the finite volume discretisation of one-group and multi-group radiation diffusion equations. We first propose the attribute of patch-correlation for cells of a two-dimensional monolayer piecewise rectangular structured grid without any suspensions based on the patch hierarchy of JASMIN, classify and reorder these cells via their attributes, and derive the conversion of cell-permutations. Using two cell-permutations, we then construct some parallel incomplete LU factorisation and substitution algorithms, to provide our parallel -GMRES solver with the help of the default BoomerAMG in the HYPRE library. Numerical results demonstrate that our proposed parallel incomplete LU preconditioner (ILU) is of higher efficiency than the counterpart in the Euclid library, and that the proposed parallel -GMRES solver is more robust and more efficient than the default BoomerAMG-GMRES solver.

In this paper, we present a preconditioned positive-definite and skew-Hermitian splitting (PPSS) iteration method for continuous Sylvester equations AX + XB = C with positive definite/semi-definite matrices. The analysis shows that the PPSS iteration method will converge under certain assumptions. An inexact variant of the PPSS iteration method (IPPSS) has been presented and the analysis of its convergence property in detail has been discussed. Numerical results show that this new method is more efficient and robust than the existing ones.

A robust residual-based a posteriori error estimator is proposed for a weak Galerkin finite element method for the Stokes problem in two and three dimensions. The estimator consists of two terms, where the first term characterises the difference between the L2-projection of the velocity approximation on the element interfaces and the corresponding numerical trace, and the second is related to the jump of the velocity approximation between the adjacent elements. We show that the estimator is reliable and efficient through two estimates of global upper and global lower bounds, up to two data oscillation terms caused by the source term and the nonhomogeneous Dirichlet boundary condition. The estimator is also robust in the sense that the constant factors in the upper and lower bounds are independent of the viscosity coefficient. Numerical results are provided to verify the theoretical results.

We propose a class of numerical methods for solving nonlinear random differential equations with piecewise constant argument, called gPCRK methods as they combine generalised polynomial chaos with Runge-Kutta methods. An error analysis is presented involving the error arising from a finite-dimensional noise assumption, the projection error, the aliasing error and the discretisation error. A numerical example is given to illustrate the effectiveness of this approach.

In this study, we propose a high order well-balanced weighted compact nonlinear (WCN) scheme for the gas dynamic equations under gravitational fields. The proposed scheme is an extension of the high order WCN schemes developed in (S. Zhang, S. Jiang, C.-W Shu, J. Comput. Phys. 227 (2008) 7294-7321). For the purpose of maintaining the exact steady state solution, the well-balanced technique in (Y. Xing, C.-W Shu, J. Sci. Comput. 54 (2013) 645-662) is employed to split the source term into two terms. The proposed scheme can maintain the isothermal equilibrium solution exactly, genuine high order accuracy and resolve small perturbations of the hydrostatic balance state on the coarse meshes. Furthermore, in order to capture the strong discontinuities and large gradients, the fifth-order upwind weighted nonlinear interpolations together with the fourth/sixth order cell-centered compact schemes with local characteristic projections are used to construct different WCN schemes. Several representative one- and two-dimensional examples are simulated to demonstrate the good performance of the proposed schemes.