Welcome to our book review site go-pdf.online!
You may have to Search all our reviewed books and magazines, click the sign up button below to create a free account.
IMAS, IMEX 73
None
IMEX
None
IMEX-a
This report presents an efficient and accurate method for integrating a system of ordinary differential equations, particularly those arising from a spatial discretization of partially differential equations. The algorithm developed, termed the IMEX a algorithm, belongs to a class of algorithms known as implicit-explicit (IMEX) methods. The explicit step is based on a fifth order Runge-Kutta explicit step known as the Dormand-Prince algorithm, which adaptively modifies the time step by calculating the error relative to a fourth order estimation. The implicit step, which follows the explicit step, is based on a backward Euler method, a special case of the generalized trapezoidal method. Reaso...
iMex Revista (2)
Keine Angaben
Robust and Efficient IMEX Schemes for Option Pricing Under Jump-Diffusion Models
We propose families of IMEX time discretization schemes for the partial integro-differential equation derived for the pricing of options under a jump diffusion process. The schemes include the families of IMEX-midpoint, IMEXCNAB and IMEX-BDF2 schemes. Each family is defined by a convex parameter c ∈ [0, 1], which divides the zeroth-order term due to the jumps between the implicit and explicit part in the time discretization. These IMEX schemes lead to tridiagonal systems, which can be solved extremely efficiently. The schemes are studied through Fourier stability analysis and numerical experiments. It is found that, under suitable assumptions and time step restrictions, the IMEX-midpoint family is absolutely stable only for c = 0, while the IMEX-CNAB and the IMEX-BDF2 families are absolutely stable for all c ∈ [0, 1]. The IMEX-CNAB c = 0 scheme produced the smallest error in our numerical experiments.
Numerical Solution of Time-Dependent Advection-Diffusion-Reaction Equations
Unique book on Reaction-Advection-Diffusion problems
IMEX 86
None
IMEX and Semi-Implicit Runge-Kutta Schemes for CFD Simulations
Numerical Weather Prediction (NWP) and climate models parametrize the effects of boundary-layer turbulence as a diffusive process, dependent on a diffusion coefficient, which appears as nonlinear terms in the governing equations. In the advection dominated zone of the boundary layer and in the free atmosphere, the air flow supports different wave motions, with the fastest being the sound waves. Time integrations of these terms, in both zones, need to be implicit otherwise they impractically restrict the stable time step sizes. At the same time, implicit schemes may lose accuracy compared to explicit schemes in the same level, which is due to dispersion error associated with these schemes. Fu...
