The Operator Splitting Method for Black-Scholes Equation

The Operator Splitting method is applied to differential equations occurring as mathematical models in financial models. This paper provides various operator splitting methods to obtain an effective and accurate solution to the Black-Scholes equation with appropriate boundary conditions for a European option pricing problem. Finally brief comparisons of option prices are given by different models.

THREE HIGH-ORDER SPLITTING SCHEMES FOR 3D TRANSPORT EQUATION

Two high-order splitting schemes based on the idea of the operators splitting method are given. The three-dimensional advection-diffusion equation was split into several one-dimensional equations that were solved by these two schemes, only three computational grid points were needed in each direction but the accuracy reaches the spatial fourth-order. The third scheme proposed is based on the classical ADI scheme and the accuracy of the advection term of it can reach the spatial fourth-order. Finally, two typical numerical experiments show that the solutions of these three schemes compare well with that given by the analytical solution when the Peclet number is not bigger than 5.

Efficient Splitting Methods Based on Modified Potentials:Numerical Integration of Linear Parabolic Problems and Imaginary Time Propagation of the Schrodinger Equation

We present a new family of fourth-order splitting methods with positive coefficients especially tailored for the time integration of linear parabolic problems and,in particular,for the time dependent Schrodinger equation,both in real and imaginary time.They are based on the use of a double commutator and a modified processor,and are more efficient than other widely used schemes found in the literature.Moreover,for certain potentials,they achieve order six.Several examples in one,two and three dimensions clearly illustrate the computational advantages of the new schemes.

Proximity point algorithm for low-rank matrix recovery from sparse noise corrupted data

The method of recovering a low-rank matrix with an unknown fraction whose entries are arbitrarily corrupted is known as the robust principal component analysis （RPCA）. This RPCA problem, under some conditions, can be exactly solved via convex optimization by minimizing a combination of the nuclear norm and the 11 norm. In this paper, an algorithm based on the Douglas-Rachford splitting method is proposed for solving the RPCA problem. First, the convex optimization problem is solved by canceling the constraint of the variables, and ~hen the proximity operators of the objective function are computed alternately. The new algorithm can exactly recover the low-rank and sparse components simultaneously, and it is proved to be convergent. Numerical simulations demonstrate the practical utility of the proposed algorithm.

Block-Wise ADMM with a Relaxation Factor for Multiple-Block Convex Programming

It has been shown that the alternating direction method of multipliers(ADMM)is not necessarily convergent when it is directly extended to a multiple-block linearly constrained convex minimization model with an objective function that is in the sum of more than two functions without coupled variables.Recently,we pro-posed the block-wise ADMM,which was obtained by regrouping the variables and functions of such a model as two blocks and then applying the original ADMM in block-wise.This note is a further study on this topic with the purpose of showing that a well-known relaxation factor proposed by Fortin and Glowinski for iteratively updat-ing the Lagrangian multiplier of the originalADMMcan also be used in the block-wise ADMM.We thus propose the block-wise ADMM with Fortin and Glowinski’s relax-ation factor for the multiple-block convex minimization model.Like the block-wise ADMM,we also suggest further decomposing the resulting subproblems and regular-izing them by proximal terms to ensure the convergence.For the block-wise ADMM with Fortin and Glowinski's relaxation factor,its convergence and worst-case conver-gence rate measured by the iteration complexity in the ergodic sense are derived.

NUMERICAL SIMULATION OF THE FLOW PATTERNS OF YUQIAO RESERVOIR

In this paper the slot method is used in the computation of 2-dimensional flow with transient boundary.The slot located inside the computation zone is placed in each space grid, parallel to both X and Y axes.Combined with the operator splitting method,the numerical simu- lation of the flow patterns of Yuqiao Reservior is made.The calculated results are in good agree- ment with observed data.

Split Local Artificial Boundary Conditions for the Two-Dimensional Sine-Gordon Equation on R^(2)

In this paper the numerical solution of the two-dimensional sine-Gordon equation is studied.Split local artificial boundary conditions are obtained by the operator splitting method.Then the original problem is reduced to an initial boundary value problem on a bounded computational domain,which can be solved by the finite differencemethod.Several numerical examples are provided to demonstrate the effectiveness and accuracy of the proposed method,and some interesting propagation and collision behaviors of the solitary wave solutions are observed.

APPLICATION OF BOUNDARY FITTED COORDINATE TECHNIQUE ON 2-D STEADY FLOW OF TAIL RACE RIVER

In this paper,a modified boundary fitted coordinate method is presented.The transformation equations are solved by finite analytic method.The control equations after trans- formation are solved by splitting operator method.The results of calculation consist well with experiments.