Search results for: Numerical Analysis and Non-Linear partial Differential Equation.
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 11636

Search results for: Numerical Analysis and Non-Linear partial Differential Equation.

11486 Bifurcation Method for Solving Positive Solutions to a Class of Semilinear Elliptic Equations and Stability Analysis of Solutions

Authors: Hailong Zhu, Zhaoxiang Li

Abstract:

Semilinear elliptic equations are ubiquitous in natural sciences. They give rise to a variety of important phenomena in quantum mechanics, nonlinear optics, astrophysics, etc because they have rich multiple solutions. But the nontrivial solutions of semilinear equations are hard to be solved for the lack of stabilities, such as Lane-Emden equation, Henon equation and Chandrasekhar equation. In this paper, bifurcation method is applied to solving semilinear elliptic equations which are with homogeneous Dirichlet boundary conditions in 2D. Using this method, nontrivial numerical solutions will be computed and visualized in many different domains (such as square, disk, annulus, dumbbell, etc).

Keywords: Semilinear elliptic equations, positive solutions, bifurcation method, isotropy subgroups.

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11485 A Numerical Model for Studying Convectional Lifting Processes in the Tropics

Authors: Chantawan Noisri, Robert Harold Buchanan Exell

Abstract:

A simple model for studying convectional lifting processes in the tropics is described in this paper with some tests of the model in dry air. The model consists of the density equation, the wind equation, the vertical velocity equation, and the temperature equation. The model domain is two-dimensional with length 100 km and height 17.5 km. Plan for experiments to investigate the effects of the heating surface, the deep convection approximation and the treatment of velocities at the boundaries are discussed. Equations for the simplified treatment of moisture in the atmosphere in future numerical experiments are also given.

Keywords: Numerical weather prediction, Finite differences, Convection lifting.

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11484 Free Vibration of Axially Functionally Graded Simply Supported Beams Using Differential Transformation Method

Authors: A. Selmi

Abstract:

Free vibration analysis of homogenous and axially functionally graded simply supported beams within the context of Euler-Bernoulli beam theory is presented in this paper. The material properties of the beams are assumed to obey the linear law distribution. The effective elastic modulus of the composite was predicted by using the rule of mixture. Here, the complexities which appear in solving differential equation of transverse vibration of composite beams which limit the analytical solution to some special cases are overcome using a relatively new approach called the Differential Transformation Method. This technique is applied for solving differential equation of transverse vibration of axially functionally graded beams. Natural frequencies and corresponding normalized mode shapes are calculated for different Young’s modulus ratios. MATLAB code is designed to solve the transformed differential equation of the beam. Comparison of the present results with the exact solutions proves the effectiveness, the accuracy, the simplicity, and computational stability of the differential transformation method. The effect of the Young’s modulus ratio on the normalized natural frequencies and mode shapes is found to be very important.

Keywords: Differential transformation method, functionally graded material, mode shape, natural frequency.

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11483 Nonlinear Time-History Analysis of 3-Dimensional Semi-rigid Steel Frames

Authors: Phu-Cuong Nguyen, Seung-Eock Kim

Abstract:

This paper presents nonlinear elastic dynamic analysis of 3-D semi-rigid steel frames including geometric and connection nonlinearities. The geometric nonlinearity is considered by using stability functions and updating geometric stiffness matrix. The nonlinear behavior of the steel beam-to-column connection is considered by using a zero-length independent connection element comprising of six translational and rotational springs. The nonlinear dynamic equilibrium equations are solved by the Newmark numerical integration method. The nonlinear time-history analysis results are compared with those of previous studies and commercial SAP2000 software to verify the accuracy and efficiency of the proposed procedure.

Keywords: Geometric nonlinearity, nonlinear time-historyanalysis, semi-rigid connection, stability functions.

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11482 Nonplanar Ion-acoustic Waves in a Relativistically Degenerate Quantum Plasma

Authors: Swarniv Chandra, Sibarjun Das, Agniv Chandra, Basudev Ghosh, Apratim Jash

Abstract:

Using the quantum hydrodynamic (QHD) model the nonlinear properties of ion-acoustic waves in are lativistically degenerate quantum plasma is investigated by deriving a nonlinear Spherical Kadomtsev–Petviashvili (SKP) equation using the standard reductive perturbation method equation. It was found that the electron degeneracy parameter significantly affects the linear and nonlinear properties of ion-acoustic waves in quantum plasma.

Keywords: Kadomtsev-Petviashvili equation, Ion-acoustic Waves, Relativistic Degeneracy, Quantum Plasma, Quantum Hydrodynamic Model.

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11481 Three-Dimensional Numerical Investigation for Reinforced Concrete Slabs with Opening

Authors: Abdelrahman Elsehsah, Hany Madkour, Khalid Farah

Abstract:

This article presents a 3-D modified non-linear elastic model in the strain space. The Helmholtz free energy function is introduced with the existence of a dissipation potential surface in the space of thermodynamic conjugate forces. The constitutive equation and the damage evolution were derived as well. The modified damage has been examined to model the nonlinear behavior of reinforced concrete (RC) slabs with an opening. A parametric study with RC was carried out to investigate the impact of different factors on the behavior of RC slabs. These factors are the opening area, the opening shape, the place of opening, and the thickness of the slabs. And the numerical results have been compared with the experimental data from literature. Finally, the model showed its ability to be applied to the structural analysis of RC slabs.

Keywords: 3-D numerical analysis, damage mechanics, RC slab with opening.

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11480 Nonlinear Finite Element Modeling of Deep Beam Resting on Linear and Nonlinear Random Soil

Authors: M. Seguini, D. Nedjar

Abstract:

An accuracy nonlinear analysis of a deep beam resting on elastic perfectly plastic soil is carried out in this study. In fact, a nonlinear finite element modeling for large deflection and moderate rotation of Euler-Bernoulli beam resting on linear and nonlinear random soil is investigated. The geometric nonlinear analysis of the beam is based on the theory of von Kàrmàn, where the Newton-Raphson incremental iteration method is implemented in a Matlab code to solve the nonlinear equation of the soil-beam interaction system. However, two analyses (deterministic and probabilistic) are proposed to verify the accuracy and the efficiency of the proposed model where the theory of the local average based on the Monte Carlo approach is used to analyze the effect of the spatial variability of the soil properties on the nonlinear beam response. The effect of six main parameters are investigated: the external load, the length of a beam, the coefficient of subgrade reaction of the soil, the Young’s modulus of the beam, the coefficient of variation and the correlation length of the soil’s coefficient of subgrade reaction. A comparison between the beam resting on linear and nonlinear soil models is presented for different beam’s length and external load. Numerical results have been obtained for the combination of the geometric nonlinearity of beam and material nonlinearity of random soil. This comparison highlighted the need of including the material nonlinearity and spatial variability of the soil in the geometric nonlinear analysis, when the beam undergoes large deflections.

Keywords: Finite element method, geometric nonlinearity, material nonlinearity, soil-structure interaction, spatial variability.

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11479 Nonlinear Effects in Bubbly Liquid with Shock Waves

Authors: Raisa Kh. Bolotnova, Marat N. Galimzianov, Andrey S. Topolnikov, Uliana O. Agisheva, Valeria A. Buzina

Abstract:

The paper presents the results of theoretical and numerical modeling of propagation of shock waves in bubbly liquids related to nonlinear effects (realistic equation of state, chemical reactions, two-dimensional effects). On the basis on the Rankine- Hugoniot equations the problem of determination of parameters of passing and reflected shock waves in gas-liquid medium for isothermal, adiabatic and shock compression of the gas component is solved by using the wide-range equation of state of water in the analitic form. The phenomenon of shock wave intensification is investigated in the channel of variable cross section for the propagation of a shock wave in the liquid filled with bubbles containing chemically active gases. The results of modeling of the wave impulse impact on the solid wall covered with bubble layer are presented.

Keywords: bubbly liquid, cavitation, equation of state, shock wave

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11478 Two-Dimensional Solitary Wave Solution to the Quadratic Nonlinear Schrdinger Equation

Authors: Sarun Phibanchon

Abstract:

The solitary wave solution of the quadratic nonlinear Schrdinger equation is determined by the iterative method called Petviashvili method. This solution is also used for the initial condition for the time evolution to study the stability analysis. The spectral method is applied for the time evolution.

Keywords: soliton, iterative method, spectral method, plasma

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11477 A Review on Higher Order Spline Techniques for Solving Burgers Equation Using B-Spline Methods and Variation of B-Spline Techniques

Authors: Maryam Khazaei Pool, Lori Lewis

Abstract:

This is a summary of articles based on higher order B-splines methods and the variation of B-spline methods such as Quadratic B-spline Finite Elements Method, Exponential Cubic B-Spline Method Septic B-spline Technique, Quintic B-spline Galerkin Method, and B-spline Galerkin Method based on the Quadratic B-spline Galerkin method (QBGM) and Cubic B-spline Galerkin method (CBGM). In this paper we study the B-spline methods and variations of B-spline techniques to find a numerical solution to the Burgers’ equation. A set of fundamental definitions including Burgers equation, spline functions, and B-spline functions are provided. For each method, the main technique is discussed as well as the discretization and stability analysis. A summary of the numerical results is provided and the efficiency of each method presented is discussed. A general conclusion is provided where we look at a comparison between the computational results of all the presented schemes. We describe the effectiveness and advantages of these methods.

Keywords: Burgers’ Equation, Septic B-spline, Modified Cubic B-Spline Differential Quadrature Method, Exponential Cubic B-Spline Technique, B-Spline Galerkin Method, and Quintic B-Spline Galerkin Method.

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11476 The Experimental and Numerical Analysis of Trip Steel Wire Drawing Processes Drawn with Different Partial Reductions

Authors: Sylwia Wiewiorowska, Zbigniew Muskalski

Abstract:

The strain intensity and redundant strains, dependent in multistage TRIP wire drawing processes from values used single partial reductions, should influence on the intensity of transformation the retained austenite into martensite and thereby on mechanical properties of drawn wires. The numerical analysis of drawing processes with use of Drawing 2D programme, for steel wires made from TRIP steel with 0,29% has been shown in the work. The change of strain intensity εc and the values of redundant strain εxy, has been determined for particular draws in dependence of used single partial reductions.

Keywords: Steel wire, TRIP steel, drawing processes, fem modelling.

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11475 Applying Element Free Galerkin Method on Beam and Plate

Authors: Mahdad M’hamed, Belaidi Idir

Abstract:

This paper develops a meshless approach, called Element Free Galerkin (EFG) method, which is based on the weak form Moving Least Squares (MLS) of the partial differential governing equations and employs the interpolation to construct the meshless shape functions. The variation weak form is used in the EFG where the trial and test functions are approximated bye the MLS approximation. Since the shape functions constructed by this discretization have the weight function property based on the randomly distributed points, the essential boundary conditions can be implemented easily. The local weak form of the partial differential governing equations is obtained by the weighted residual method within the simple local quadrature domain. The spline function with high continuity is used as the weight function. The presently developed EFG method is a truly meshless method, as it does not require the mesh, either for the construction of the shape functions, or for the integration of the local weak form. Several numerical examples of two-dimensional static structural analysis are presented to illustrate the performance of the present EFG method. They show that the EFG method is highly efficient for the implementation and highly accurate for the computation. The present method is used to analyze the static deflection of beams and plate hole

Keywords: Numerical computation, element-free Galerkin, moving least squares, meshless methods.

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11474 Nonlinear Propagation of Acoustic Soliton Waves in Dense Quantum Electron-Positron Magnetoplasma

Authors: A. Abdikian

Abstract:

Propagation of nonlinear acoustic wave in dense electron-positron (e-p) plasmas in the presence of an external magnetic field and stationary ions (to neutralize the plasma background) is studied. By means of the quantum hydrodynamics model and applying the reductive perturbation method, the Zakharov-Kuznetsov equation is derived. Using the bifurcation theory of planar dynamical systems, the compressive structure of electrostatic solitary wave and periodic travelling waves is found. The numerical results show how the ion density ratio, the ion cyclotron frequency, and the direction cosines of the wave vector affect the nonlinear electrostatic travelling waves. The obtained results may be useful to better understand the obliquely nonlinear electrostatic travelling wave of small amplitude localized structures in dense magnetized quantum e-p plasmas and may be applicable to study the particle and energy transport mechanism in compact stars such as the interior of massive white dwarfs etc.

Keywords: Bifurcation theory, magnetized electron-positron plasma, phase portrait, the Zakharov-Kuznetsov equation.

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11473 Application of Differential Transformation Method for Solving Dynamical Transmission of Lassa Fever Model

Authors: M. A. Omoloye, M. I. Yusuff, O. K. S. Emiola

Abstract:

The use of mathematical models for solving biological problems varies from simple to complex analyses, depending on the nature of the research problems and applicability of the models. The method is more common nowadays. Many complex models become impractical when transmitted analytically. However, alternative approach such as numerical method can be employed. It appropriateness in solving linear and non-linear model equation in Differential Transformation Method (DTM) which depends on Taylor series make it applicable. Hence this study investigates the application of DTM to solve dynamic transmission of Lassa fever model in a population. The mathematical model was formulated using first order differential equation. Firstly, existence and uniqueness of the solution was determined to establish that the model is mathematically well posed for the application of DTM. Numerically, simulations were conducted to compare the results obtained by DTM and that of fourth-order Runge-Kutta method. As shown, DTM is very effective in predicting the solution of epidemics of Lassa fever model.

Keywords: Differential Transform Method, Existence and uniqueness, Lassa fever, Runge-Kutta Method.

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11472 An Asymptotic Solution for the Free Boundary Parabolic Equations

Authors: Hsuan-Ku Liu, Ming Long Liu

Abstract:

In this paper, we investigate the solution of a two dimensional parabolic free boundary problem. The free boundary of this problem is modelled as a nonlinear integral equation (IE). For this integral equation, we propose an asymptotic solution as time is near to maturity and develop an integral iterative method. The computational results reveal that our asymptotic solution is very close to the numerical solution as time is near to maturity.

Keywords: Integral equation, asymptotic solution, free boundary problem, American exchange option.

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11471 Implicit Two Step Continuous Hybrid Block Methods with Four Off-Steps Points for Solving Stiff Ordinary Differential Equation

Authors: O. A. Akinfenwa, N.M. Yao, S. N. Jator

Abstract:

In this paper, a self starting two step continuous block hybrid formulae (CBHF) with four Off-step points is developed using collocation and interpolation procedures. The CBHF is then used to produce multiple numerical integrators which are of uniform order and are assembled into a single block matrix equation. These equations are simultaneously applied to provide the approximate solution for the stiff ordinary differential equations. The order of accuracy and stability of the block method is discussed and its accuracy is established numerically.

Keywords: Collocation and Interpolation, Continuous HybridBlock Formulae, Off-Step Points, Stability, Stiff ODEs.

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11470 Unsteady Water Boundary Layer Flow with Non-Uniform Mass Transfer

Authors: G. Revathi, P. Saikrishnan

Abstract:

In the present analysis an unsteady laminar forced convection water boundary layer flow is considered. The fluid properties such as viscosity and Prandtl number are taken as variables such that those are inversely proportional to temperature. By using quasi-linearization technique the nonlinear coupled partial differential equations are linearized and the numerical solutions are obtained by using implicit finite difference scheme with the appropriate selection of step sizes. Non-similar solutions have been obtained from the starting point of the stream-wise coordinate to the point where skin friction value vanishes. The effect non-uniform mass transfer along the surface of the cylinder through slot is studied on the skin friction and heat transfer coefficients.

Keywords: Boundary layer, heat transfer, non-similar solution, non-uniform mass, unsteady flow.

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11469 Analytical Solutions of Kortweg-de Vries(KdV) Equation

Authors: Foad Saadi, M. Jalali Azizpour, S.A. Zahedi

Abstract:

The objective of this paper is to present a comparative study of Homotopy Perturbation Method (HPM), Variational Iteration Method (VIM) and Homotopy Analysis Method (HAM) for the semi analytical solution of Kortweg-de Vries (KdV) type equation called KdV. The study have been highlighted the efficiency and capability of aforementioned methods in solving these nonlinear problems which has been arisen from a number of important physical phenomenon.

Keywords: Variational Iteration Method (VIM), HomotopyPerturbation Method (HPM), Homotopy Analysis Method (HAM), KdV Equation.

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11468 Instability of Soliton Solutions to the Schamel-nonlinear Schrödinger Equation

Authors: Sarun Phibanchon, Michael A. Allen

Abstract:

A variational method is used to obtain the growth rate of a transverse long-wavelength perturbation applied to the soliton solution of a nonlinear Schr¨odinger equation with a three-half order potential. We demonstrate numerically that this unstable perturbed soliton will eventually transform into a cylindrical soliton.

Keywords: Soliton, instability, variational method, spectral method.

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11467 Finite Element Modeling of Heat and Moisture Transfer in Porous Material

Authors: V. D. Thi, M. Li, M. Khelifa, M. El Ganaoui, Y. Rogaume

Abstract:

This paper presents a two-dimensional model to study the heat and moisture transfer through porous building materials. Dynamic and static coupled models of heat and moisture transfer in porous material under low temperature are presented and the coupled models together with variable initial and boundary conditions have been considered in an analytical way and using the finite element method. The resulting coupled model is converted to two nonlinear partial differential equations, which is then numerically solved by an implicit iterative scheme. The numerical results of temperature and moisture potential changes are compared with the experimental measurements available in the literature. Predicted results demonstrate validation of the theoretical model and effectiveness of the developed numerical algorithms. It is expected to provide useful information for the porous building material design based on heat and moisture transfer model.

Keywords: Finite element method, heat transfer, moisture transfer, porous materials, wood.

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11466 Ginzburg-Landau Model for Curved Two-Phase Shallow Mixing Layers

Authors: Irina Eglite, Andrei A. Kolyshkin

Abstract:

Method of multiple scales is used in the paper in order to derive an amplitude evolution equation for the most unstable mode from two-dimensional shallow water equations under the rigid-lid assumption. It is assumed that shallow mixing layer is slightly curved in the longitudinal direction and contains small particles. Dynamic interaction between carrier fluid and particles is neglected. It is shown that the evolution equation is the complex Ginzburg-Landau equation. Explicit formulas for the computation of the coefficients of the equation are obtained.

Keywords: Shallow water equations, mixing layer, weakly nonlinear analysis, Ginzburg-Landau equation

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11465 Application of a SubIval Numerical Solver for Fractional Circuits

Authors: Marcin Sowa

Abstract:

The paper discusses the subinterval-based numerical method for fractional derivative computations. It is now referred to by its acronym – SubIval. The basis of the method is briefly recalled. The ability of the method to be applied in time stepping solvers is discussed. The possibility of implementing a time step size adaptive solver is also mentioned. The solver is tested on a transient circuit example. In order to display the accuracy of the solver – the results have been compared with those obtained by means of a semi-analytical method called gcdAlpha. The time step size adaptive solver applying SubIval has been proven to be very accurate as the results are very close to the referential solution. The solver is currently able to solve FDE (fractional differential equations) with various derivative orders for each equation and any type of source time functions.

Keywords: Numerical method, SubIval, fractional calculus, numerical solver, circuit analysis.

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11464 Numerical Method Based On Initial Value-Finite Differences for Free Vibration of Stepped Thickness Plates

Authors: Ahmed M. Farag, Wael F. Mohamed, Atef A. Ata, Burhamy M. Burhamy

Abstract:

The main objective of the present paper is to derive an easy numerical technique for the analysis of the free vibration through the stepped regions of plates. Based on the utilities of the step by step integration initial values IV and Finite differences FD methods, the present improved Initial Value Finite Differences (IVFD) technique is achieved. The first initial conditions are formulated in convenient forms for the step by step integrations while the upper and lower edge conditions are expressed in finite difference modes. Also compatibility conditions are created due to the sudden variation of plate thickness. The present method (IVFD) is applied to solve the fourth order partial differential equation of motion for stepped plate across two different panels under the sudden step compatibility in addition to different types of end conditions. The obtained results are examined and the validity of the present method is proved showing excellent efficiency and rapid convergence.

Keywords: Vibrations, Step by Step Integration, Stepped plate, Boundary.

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11463 Solution of First kind Fredholm Integral Equation by Sinc Function

Authors: Khosrow Maleknejad, Reza Mollapourasl, Parvin Torabi, Mahdiyeh Alizadeh,

Abstract:

Sinc-collocation scheme is one of the new techniques used in solving numerical problems involving integral equations. This method has been shown to be a powerful numerical tool for finding fast and accurate solutions. So, in this paper, some properties of the Sinc-collocation method required for our subsequent development are given and are utilized to reduce integral equation of the first kind to some algebraic equations. Then convergence with exponential rate is proved by a theorem to guarantee applicability of numerical technique. Finally, numerical examples are included to demonstrate the validity and applicability of the technique.

Keywords: Integral equation, Fredholm type, Collocation method, Sinc approximation.

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11462 A Hybrid Neural Network and Gravitational Search Algorithm (HNNGSA) Method to Solve well known Wessinger's Equation

Authors: M. Ghalambaz, A.R. Noghrehabadi, M.A. Behrang, E. Assareh, A. Ghanbarzadeh, N.Hedayat

Abstract:

This study presents a hybrid neural network and Gravitational Search Algorithm (HNGSA) method to solve well known Wessinger's equation. To aim this purpose, gravitational search algorithm (GSA) technique is applied to train a multi-layer perceptron neural network, which is used as approximation solution of the Wessinger's equation. A trial solution of the differential equation is written as sum of two parts. The first part satisfies the initial/ boundary conditions and does not contain any adjustable parameters and the second part which is constructed so as not to affect the initial/boundary conditions. The second part involves adjustable parameters (the weights and biases) for a multi-layer perceptron neural network. In order to demonstrate the presented method, the obtained results of the proposed method are compared with some known numerical methods. The given results show that presented method can introduce a closer form to the analytic solution than other numerical methods. Present method can be easily extended to solve a wide range of problems.

Keywords: Neural Networks, Gravitational Search Algorithm (GSR), Wessinger's Equation.

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11461 A Parametric Study on Lateral Torsional Buckling of European IPN and IPE Cantilevers

Authors: H. Ozbasaran

Abstract:

IPN and IPE sections, which are commonly used European I shapes, are widely used in steel structures as cantilever beams to support overhangs. A considerable number of studies exist on calculating lateral torsional buckling load of I sections. However, most of them provide series solutions or complex closed-form equations. In this paper, a simple equation is presented to calculate lateral torsional buckling load of IPN and IPE section cantilever beams. First, differential equation of lateral torsional buckling is solved numerically for various loading cases. Then a parametric study is conducted on results to present an equation for lateral torsional buckling load of European IPN and IPE beams. Finally, results obtained by presented equation are compared to differential equation solutions and finite element model results. ABAQUS software is utilized to generate finite element models of beams. It is seen that the results obtained from presented equation coincide with differential equation solutions and ABAQUS software results. It can be suggested that presented formula can be safely used to calculate critical lateral torsional buckling load of European IPN and IPE section cantilevers.

Keywords: Cantilever, IPN, IPE, lateral torsional buckling

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11460 Application of Homotopy Perturbation Method to Solve Steady Flow of Walter B Fluid A Vertical Channel In Porous Media

Authors: A.Memari

Abstract:

In this article, a simulation method called the Homotopy Perturbation Method (HPM) is employed in the steady flow of a Walter's B' fluid in a vertical channel with porous wall. We employed Homotopy Perturbation Method to derive solution of a nonlinear form of equation obtained from exerting similarity transforming to the ordinary differential equation gained from continuity and momentum equations of this kind of flow. The results obtained from the Homotopy Perturbation Method are then compared with those from the Runge–Kutta method in order to verify the accuracy of the proposed method. The results show that the Homotopy Perturbation Method can achieve good results in predicting the solution of such problems. Ultimately we use this solution to obtain the other terms of velocities and physical discussion about it.

Keywords: Steady flow; Walter's B' Fluid;, vertical channel;porous media, Homotopy Perturbation Method (HPM), Numerical Solution (NS).

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11459 Bifurcation Analysis of Horizontal Platform System

Authors: C. C. Wang, N. S. Pai, H. T. Yau, T. T. Liao, M. J. Jang, C. W. Lee, W. M. Hong

Abstract:

Horizontal platform system (HPS) is popularly applied in offshore and earthquake technology, but it is difficult and time-consuming for regulation. In order to understand the nonlinear dynamic behavior of HPS and reduce the cost when using it, this paper employs differential transformation method to study the bifurcation behavior of HPS. The numerical results reveal a complex dynamic behavior comprising periodic, sub-harmonic, and chaotic responses. Furthermore, the results reveal the changes which take place in the dynamic behavior of the HPS as the external torque is increased. Therefore, the proposed method provides an effective means of gaining insights into the nonlinear dynamics of horizontal platform system.

Keywords: horizontal platform system, differentialtransformation method, chaotic.

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11458 Pricing European Options under Jump Diffusion Models with Fast L-stable Padé Scheme

Authors: Salah Alrabeei, Mohammad Yousuf

Abstract:

The goal of option pricing theory is to help the investors to manage their money, enhance returns and control their financial future by theoretically valuing their options. Modeling option pricing by Black-School models with jumps guarantees to consider the market movement. However, only numerical methods can solve this model. Furthermore, not all the numerical methods are efficient to solve these models because they have nonsmoothing payoffs or discontinuous derivatives at the exercise price. In this paper, the exponential time differencing (ETD) method is applied for solving partial integrodifferential equations arising in pricing European options under Merton’s and Kou’s jump-diffusion models. Fast Fourier Transform (FFT) algorithm is used as a matrix-vector multiplication solver, which reduces the complexity from O(M2) into O(M logM). A partial fraction form of Pad`e schemes is used to overcome the complexity of inverting polynomial of matrices. These two tools guarantee to get efficient and accurate numerical solutions. We construct a parallel and easy to implement a version of the numerical scheme. Numerical experiments are given to show how fast and accurate is our scheme.

Keywords: Integral differential equations, L-stable methods, pricing European options, Jump–diffusion model.

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11457 A Numerical Solution Based On Operational Matrix of Differentiation of Shifted Second Kind Chebyshev Wavelets for a Stefan Problem

Authors: Rajeev, N. K. Raigar

Abstract:

In this study, one dimensional phase change problem (a Stefan problem) is considered and a numerical solution of this problem is discussed. First, we use similarity transformation to convert the governing equations into ordinary differential equations with its boundary conditions. The solutions of ordinary differential equation with the associated boundary conditions and interface condition (Stefan condition) are obtained by using a numerical approach based on operational matrix of differentiation of shifted second kind Chebyshev wavelets. The obtained results are compared with existing exact solution which is sufficiently accurate.

Keywords: Operational matrix of differentiation, Similarity transformation, Shifted second kind Chebyshev wavelets, Stefan problem.

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