In this paper, new basic functions, which are composed of three basic Jacobi elliptic functions, are chosen as components of finite expansion. This finite expansion can be taken as an ansatz and applied to solve nonli...In this paper, new basic functions, which are composed of three basic Jacobi elliptic functions, are chosen as components of finite expansion. This finite expansion can be taken as an ansatz and applied to solve nonlinear wave equations. As an example, mKdV equation is solved, and more new rational form solutions are derived, such as periodic solutions of rational form, solitary wave solutions of rational form, and so on.展开更多
This paper aims to develop a power penalty method for a linear parabolic variational inequality （VI） in two spatial dimensions governing the two-asset American option valuation. This method yields a two-dimensional ...This paper aims to develop a power penalty method for a linear parabolic variational inequality （VI） in two spatial dimensions governing the two-asset American option valuation. This method yields a two-dimensional nonlinear parabolic PDE containing a power penalty term with penalty constant λ〉 1 and a power parameter k 〉 0. We show that the nonlinear PDE is uniquely solvable and the solution of the PDE converges to that of the VI at the rate of order O（λ^-k/2）. A fitted finite volume method is designed to solve the nonlinear PDE, and some numerical experiments are performed to illustrate the usefulness of this method.展开更多
基金The project supported by National Natural Science Foundation of China under Grant No.40305006the Ministry of Science and Technology of China through Special Public Welfare Project under Grant No.2002DIB20070
文摘In this paper, new basic functions, which are composed of three basic Jacobi elliptic functions, are chosen as components of finite expansion. This finite expansion can be taken as an ansatz and applied to solve nonlinear wave equations. As an example, mKdV equation is solved, and more new rational form solutions are derived, such as periodic solutions of rational form, solitary wave solutions of rational form, and so on.
文摘This paper aims to develop a power penalty method for a linear parabolic variational inequality （VI） in two spatial dimensions governing the two-asset American option valuation. This method yields a two-dimensional nonlinear parabolic PDE containing a power penalty term with penalty constant λ〉 1 and a power parameter k 〉 0. We show that the nonlinear PDE is uniquely solvable and the solution of the PDE converges to that of the VI at the rate of order O（λ^-k/2）. A fitted finite volume method is designed to solve the nonlinear PDE, and some numerical experiments are performed to illustrate the usefulness of this method.
