An adaptive Tikhonov regularization is integrated with an h-adaptive grid-based scheme for simulation of elastodynamic problems, involving seismic sources with discontinuous solutions and random media. The Tikhonov me...An adaptive Tikhonov regularization is integrated with an h-adaptive grid-based scheme for simulation of elastodynamic problems, involving seismic sources with discontinuous solutions and random media. The Tikhonov method is adapted by a newly-proposed detector based on the MINMOD limiters and the grids are adapted by the multiresolution analysis (MRA) via interpolation wavelets. Hence, both small and large magnitude physical waves are preserved by the adaptive estimations on non-uniform grids. Due to developing of non-dissipative spurious oscillations, numerical stability is guaranteed by the Tikhonov regularization acting as a post-processor on irregular grids. To preserve waves of small magnitudes, an adaptive regularization is utilized: using of smaller amount of smoothing for small magnitude waves. This adaptive smoothing guarantees also solution stability without over smoothing phenomenon in stochastic media. Proper distinguishing between noise and small physical waves are challenging due to existence of spurious oscillations in numerical simulations. This identification is performed in this study by the MINMOD limiter based algorithm. Finally, efficiency of the proposed concept is verified by: 1) three benchmarks of one-dimensional (1-D) wave propagation problems;2) P-SV point sources and rupturing line-source including a bounded fault zone with stochastic material properties.展开更多
The five-equation model of multi-component flows has been attracting much attention among researchers during the past twenty years for its potential in the study of the multi-component flows.In this paper,we employ a ...The five-equation model of multi-component flows has been attracting much attention among researchers during the past twenty years for its potential in the study of the multi-component flows.In this paper,we employ a second order finite volume method with minmod limiter in spatial discretization,which preserves local extrema of certain physical quantities and is thus capable of simulating challenging test problems without introducing non-physical oscillations.Moreover,to improve the numerical resolution of the solutions,the adaptive moving mesh strategy proposed in[Huazhong Tang,Tao Tang,Adaptive mesh methods for one-and two-dimensional hyperbolic conservation laws,SINUM,41:487-515,2003]is applied.Furthermore,the proposed method can be proved to be capable of preserving the velocity and pressure when they are initially constant,which is essential in material interface capturing.Finally,several classical numerical examples demonstrate the effectiveness and robustness of the proposed method.展开更多
This work presents a comparison study of different numerical methods to solve Black-Scholes-type partial differential equations(PDE)in the convectiondominated case,i.e.,for European options,if the ratio of the risk-fr...This work presents a comparison study of different numerical methods to solve Black-Scholes-type partial differential equations(PDE)in the convectiondominated case,i.e.,for European options,if the ratio of the risk-free interest rate and the squared volatility-known in fluid dynamics as P´eclet number-is high.For Asian options,additional similar problems arise when the"spatial"variable,the stock price,is close to zero.Here we focus on three methods:the exponentially fitted scheme,a modification of Wang’s finite volume method specially designed for the Black-Scholes equation,and the Kurganov-Tadmor scheme for a general convection-diffusion equation,that is applied for the first time to option pricing problems.Special emphasis is put in the Kurganov-Tadmor because its flexibility allows the simulation of a great variety of types of options and it exhibits quadratic convergence.For the reduction technique proposed by Wilmott,a put-call parity is presented based on the similarity reduction and the put-call parity expression for Asian options.Finally,we present experiments and comparisons with different(non)linear Black-Scholes PDEs.展开更多
基金the financial support of Iran National Science Foundation(INSF).
文摘An adaptive Tikhonov regularization is integrated with an h-adaptive grid-based scheme for simulation of elastodynamic problems, involving seismic sources with discontinuous solutions and random media. The Tikhonov method is adapted by a newly-proposed detector based on the MINMOD limiters and the grids are adapted by the multiresolution analysis (MRA) via interpolation wavelets. Hence, both small and large magnitude physical waves are preserved by the adaptive estimations on non-uniform grids. Due to developing of non-dissipative spurious oscillations, numerical stability is guaranteed by the Tikhonov regularization acting as a post-processor on irregular grids. To preserve waves of small magnitudes, an adaptive regularization is utilized: using of smaller amount of smoothing for small magnitude waves. This adaptive smoothing guarantees also solution stability without over smoothing phenomenon in stochastic media. Proper distinguishing between noise and small physical waves are challenging due to existence of spurious oscillations in numerical simulations. This identification is performed in this study by the MINMOD limiter based algorithm. Finally, efficiency of the proposed concept is verified by: 1) three benchmarks of one-dimensional (1-D) wave propagation problems;2) P-SV point sources and rupturing line-source including a bounded fault zone with stochastic material properties.
基金The research of Yaguang Gu is funded by China Postdoctoral Science Foundation(2021M703040)The research of Dongmi Luo is supported by the National Natural Science Foundation of China(12101063)+3 种基金The research of Zhen Gao is supported by the National Natural Science Foundation of China(11871443)Shandong Provincial Qingchuang Science and Technology Project(2019KJI002)Fundamental Research Funds for the Central Universities(202042004)The research of Yibing Chen is supported by National Key Project(GJXM92579).
文摘The five-equation model of multi-component flows has been attracting much attention among researchers during the past twenty years for its potential in the study of the multi-component flows.In this paper,we employ a second order finite volume method with minmod limiter in spatial discretization,which preserves local extrema of certain physical quantities and is thus capable of simulating challenging test problems without introducing non-physical oscillations.Moreover,to improve the numerical resolution of the solutions,the adaptive moving mesh strategy proposed in[Huazhong Tang,Tao Tang,Adaptive mesh methods for one-and two-dimensional hyperbolic conservation laws,SINUM,41:487-515,2003]is applied.Furthermore,the proposed method can be proved to be capable of preserving the velocity and pressure when they are initially constant,which is essential in material interface capturing.Finally,several classical numerical examples demonstrate the effectiveness and robustness of the proposed method.
文摘This work presents a comparison study of different numerical methods to solve Black-Scholes-type partial differential equations(PDE)in the convectiondominated case,i.e.,for European options,if the ratio of the risk-free interest rate and the squared volatility-known in fluid dynamics as P´eclet number-is high.For Asian options,additional similar problems arise when the"spatial"variable,the stock price,is close to zero.Here we focus on three methods:the exponentially fitted scheme,a modification of Wang’s finite volume method specially designed for the Black-Scholes equation,and the Kurganov-Tadmor scheme for a general convection-diffusion equation,that is applied for the first time to option pricing problems.Special emphasis is put in the Kurganov-Tadmor because its flexibility allows the simulation of a great variety of types of options and it exhibits quadratic convergence.For the reduction technique proposed by Wilmott,a put-call parity is presented based on the similarity reduction and the put-call parity expression for Asian options.Finally,we present experiments and comparisons with different(non)linear Black-Scholes PDEs.
