This paper is concerned with moving mesh finite difference solution of partial differential equations. It is known that mesh movement introduces an extra convection term and its numerical treatment has a significant impact on the stability of numerical schemes. Moreover, many implicit second and higher order schemes, such as the Crank-Nicolson scheme, will loss their unconditional stability. A ...

A finite difference method which is second-order accurate in time and in space is proposed for two-dimensional fractional percolation equations. Using the Fourier transform, a general approximation for the mixed fractional derivatives is analyzed. An approach based on the classical Crank-Nicolson scheme combined with the Richardson extrapolation is used to obtain temporally and spatially second...

A new method is formulated and analyzed for the approximate solution of a twodimensional time-fractional diffusion-wave equation. In this method, orthogonal spline collocation is used for the spatial discretization and, for the time-stepping, a novel alternating direction implicit (ADI) method based on the Crank-Nicolson method combined with the L1-approximation of the time Caputo derivative of...

We present high-order compact schemes for a linear second-order parabolic partial differential equation (PDE) with mixed second-order derivative terms in two spatial dimensions. The schemes are applied to option pricing PDE for a family of stochastic volatility models. We use a nonuniform grid with more grid-points around the strike price. The schemes are fourth-order accurate in space and seco...

In this paper, Crank-Nicholson method for solving fractional wave equation is considered. The stability and consistency of the method are discussed by means of Greschgorin theorem and using the stability matrix analysis. Numerical solutions of some wave fractional partial differential equation models are presented. The results obtained are compared to exact solutions.

In this paper, we construct a new numerical algorithm for the partial differential equation of up-and-out put barrier options under CEV model. method, use Crank-Nicolson scheme to discrete temporal variables and cubic B-spline collocation method spatial variables. The is stable has second-order convergence both time space analysis proposed discussed in detail. Finally, examples verify stability...

in this study, a numerical model was developed to investigate the two-dimensional heat transfer in a homogenous finite cylinder to predict the local temperature and sterilizing value during caviar pasteurization. a fixed grid finite difference method was used in the solution of heat transfer equations according to crank-nicolson’s scheme. the model was validated by comparison of the experimenta...

In this work, we derive a goal-oriented a posteriori error estimator for the error due to time-discretization of nonlinear parabolic partial differential equations by the fractional step theta method. This time-stepping scheme is assembled by three steps of the general theta method, that also unifies simple schemes like forward and backward Euler as well as the Crank–Nicolson method. Further, b...