Crank-Nicolson scheme and its error estimates for backward stochastic differential equations - Wang, Luo, et al. - 2009 () Citation Context ...ier-cosine series expansions equal to N =2 9 and Q = N grid points for the DCT. For these values the BCOS method has converged in N to ...
In this article, a second-order Crank–Nicolson weighted and shifted Grünwald integral (WSGI) time-discrete scheme combined with finite element method is studied for finding the numerical solution of the multi-dimensional time-fractional wave equation. The time-fractional wave equation with Caputo-fra...
The smoothing strategy for the Crank–Nicolson method for barrier options presented here to solve one and two-asset double barrier options achieves second order convergence. We have demonstrated with time evolution graphs computational performance for the one asset problem. Although the Crank–Nicolson ...
Crank-Nicolson is second-order accurate but has spurious oscillations due to its A -stability. Thus, the Backward Euler method is applied to the first few (depends on how many you choose) timesteps to reduce oscillations before applying Crank-Nicolson. Applying the Backward Euler method for the...
Based upon the approximate Crank–Nicolson (CN) finite-difference time-domain method implementation, the unconditionally stable algorithm is proposed to investigate the wave propagation and transmission through extremely thin graphene layers. More precisely, by incorporating the CN Douglas–Gunn algorithm, ...
One technique is based on the second-order backward differentiation formula (BDF2), and the other, called Crank–Nicolson, is based on the midpoint quadrature rule. Since the BDF2 method is atwo-step scheme, it is not well suited to time step adaptation. Moreover, the stability analysis ...
Moreover, the robustness of the scheme is confirmed by conducting various numerical tests using the Crank-Nicolson method on different cases of solitons to discuss the effects of the factor considered on solitons properties and on conserved quantities.Findings The Crank-Nicolson scheme has been ...
A Crank-Nicolson finite difference scheme is developed by use of the order reduction method and the weighted shifted Gr眉nwald-Letnikov derivative approximation formula. Theoretical analysis of unique solvability, stability and convergence for the Crank-Nicolson difference scheme are fulfilled. In order ...
Finite element methodTime second-order WSGI discrete schemeCrank–Nicolson schemeError analysisIn this article, a second-order Crank–Nicolson weighted and shifted Grünwald integral (WSGI) time-discrete scheme combined with finite element method is studied for finding the numerical solution of the multi...
Crank-Nicolson time-marching schemefourth-order compact schemeToeplitz matrixUnder a jump-diffusion process, the option pricing function satisfies a partial integro-differential equation. A fourth-order compact scheme is used to discretize the spatial variable of this equation. The boundary value method ...