• Coupled systems mechanics
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• 제1권4호
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• pp.325-343
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• 2012

We present different numerical methods for solving the shallow shelf equations with basal drag (SSAB). An alternative approach of splitting the SSAB equation into a Laplacian and diagonal shift operator is discussed with respect to the underlying eigenvalue problem. First, we solve the equations using standard methods. Then, the coupled equations are decomposed into operators for membranes stresses, basal shear stress and driving stress. Applying reasonable parameter values, we demonstrate that the operator of the membrane stresses is much stiffer than the operator of the basal shear stress. Here, we could apply a new splitting method, which alternates between the iteration on the membrane-stress operator and the basal-shear operator, with a more frequent iteration on the operator of the membrane stresses. We show that this splitting accelerates and stabilize the computational performance of the numerical method, although an appropriate choice of the standard method used to solve for all operators in one step speeds up the scheme as well.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제21권1호
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• pp.1-16
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• 2017

The Allen-Cahn equation is solved numerically by operator splitting Fourier spectral methods. The basic idea of the operator splitting method is to decompose the original problem into sub-equations and compose the approximate solution of the original equation using the solutions of the subproblems. The purpose of this paper is to characterize higher order operator splitting schemes and propose several higher order methods. Unlike the first and the second order methods, each of the heat and the free-energy evolution operators has at least one backward evaluation in higher order methods. We investigate the effect of negative time steps on a general form of third order schemes and suggest three third order methods for better stability and accuracy. Two fourth order methods are also presented. The traveling wave solution and a spinodal decomposition problem are used to demonstrate numerical properties and the order of convergence of the proposed methods.

• 한국수학교육학회지시리즈B:순수및응용수학
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• 제21권2호
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• pp.129-139
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• 2014

In this paper, we present a detailed comparison of the performance of the numerical solvers such as the biconjugate gradient stabilized, operator splitting, and multigrid methods for solving the two-dimensional Black-Scholes equation. The equation is discretized by the finite difference method. The computational results demonstrate that the operator splitting method is fastest among these solvers with the same level of accuracy.

• Journal of applied mathematics & informatics
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• 제24권1_2호
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• pp.17-30
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• 2007

A new scheme for solving the Vlasov equation using a compactly supported wavelets basis is proposed. We use a numerical method which minimizes the numerical diffusion and conserves a reasonable time computing cost. So we introduce a representation in a compactly supported wavelet of the derivative operator. This method makes easy and simple the computation of the coefficients of the matrix representing the operator. This allows us to solve the two equations which result from the splitting technique of the main Vlasov equation. Some numerical results are exposed using different numbers of wavelets.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제14권3호
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• pp.175-187
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• 2010

This paper presents the numerical valuation of the two-asset step-down equitylinked securities (ELS) option by using the operator-splitting method (OSM). The ELS is one of the most popular financial options. The value of ELS option can be modeled by a modified Black-Scholes partial differential equation. However, regardless of whether there is a closedform solution, it is difficult and not efficient to evaluate the solution because such a solution would be represented by multiple integrations. Thus, a fast and accurate numerical algorithm is needed to value the price of the ELS option. This paper uses a finite difference method to discretize the governing equation and applies the OSM to solve the resulting discrete equations. The OSM is very robust and accurate in evaluating finite difference discretizations. We provide a detailed numerical algorithm and computational results showing the performance of the method for two underlying asset option pricing problems such as cash-or-nothing and stepdown ELS. Final option value of two-asset step-down ELS is obtained by a weighted average value using probability which is estimated by performing a MC simulation.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제6권1호
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• pp.1-15
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• 2002

Advection-dominated transport problems possess difficulties in the design of numerical methods for solving them. Because of the hyperbolic nature of advective transport, many characteristic numerical methods have been developed such as the classical characteristic method, the Eulerian-Lagrangian method, the transport diffusion method, the modified method of characteristics, the operator splitting method, the Eulerian-Lagrangian localized adjoint method, the characteristic mixed method, and the Eulerian-Lagrangian mixed discontinuous method. In this paper relationships among these characteristic methods are examined. In particular, we show that these sometimes diverse methods can be given a unified formulation. This paper focuses on characteristic finite element methods. Similar examination can be presented for characteristic finite difference methods.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제22권1호
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• pp.75-89
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• 2018

This paper presents the numerical valuation of the arithmetic Asian option by using the operator-splitting method (OSM). Since there is no closed-form solution for the arithmetic Asian option, finding a good numerical algorithm to value the arithmetic Asian option is important. In this paper, we focus on a two-dimensional PDE. The OSM is famous for dealing with plural-dimensional PDE using finite difference discretization. We provide a detailed numerical algorithm and compare results with MCS method to show the performance of the method.

• 한국음향학회지
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• 제36권1호
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• pp.1-11
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• 2017

본 연구에서는 두 변수 유리함수 근사법에 기반한 3차원 음향 포물선 방정식의 제곱근 연산자의 새로운 근사식을 제안한다. 이 근사식은 기존의 제곱근 연산자에 대한 근사 연구와 비교해서 두 가지의 장점을 가진다. 첫 번째는 광대역 각도 능력이다. 제안된 식은 방위각 $45^{\circ}$에서 3차원 음향 포물선 방정식의 거리 축으로부터 $62^{\circ}$까지 넓은 각도에 대해 정확도를 가지는데, 이 값은 기존에 연구된 3차원 음향 포물선 방정식 알고리즘의 각도 한계의 약 세 배이다. 두 번째로는 본 근사식의 분모는 수심과 횡 거리에 대한 연산자의 곱으로 표현된다는 점이다. 이러한 분할 형태는 3차원 포물선 방정식을 손쉽게 삼중대각행렬 방정식으로 변환할 수 있다는 점에서 수치해석에서 선호된다. 제안된 식의 성능을 검증하기 위해 위상 오차분석을 통해 타 근사법과의 비교 연구가 수행되었고, 제안된 방법은 가장 우수한 성능을 보였다.

• Coupled systems mechanics
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• 제8권2호
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• pp.147-168
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• 2019

This work aims to simulate three-dimensional heavy oil flow in a reservoir with heater-wells. Mass, momentum and energy balances, as well as correlations for rock and fluid properties, are used to obtain non-linear partial differential equations for the fluid pressure and temperature, and for the rock temperature. Heat transfer is simulated using a two-equation model that is more appropriate when fluid and rock have very different thermal properties, and we also perform comparisons between one- and two-equation models. The governing equations are discretized using the Finite Volume Method. For the numerical solution, we apply a linearization and an operator splitting. As a consequence, three algebraic subsystems of linearized equations are solved using the Conjugate Gradient Method. The results obtained show the suitability of the numerical method and the technical feasibility of heating the reservoir with static equipment.

• 대한수학회보
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• 제50권6호
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• pp.2035-2051
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• 2013

In this paper, we study numerical schemes for solving multi-dimensional option pricing problem. We compare the direct solving method and the Operator Splitting Method(OSM) by using finite difference approximations. By varying parameters of the Black-Scholes equations for the maximum on the call option problem, we observed that there is no significant difference between the two methods on the convergence criterion except a huge difference in computation cost. Therefore, the two methods are compatible in practice and one can improve the time efficiency by combining the OSM with parallel computation technique. We show numerical examples including the Equity-Linked Security(ELS) pricing based on either two assets or three assets by using the OSM with the Monte-Carlo Simulation as the benchmark.