Based on the Legendre pseudospectral method, we propose a numerical treatment for pricing perpetual American put option with stochastic volatility. In this simple approach, a nonlinear algebraic equation system is first derived, and then solved by the Gauss-Newton algorithm. The convergence of the current scheme is ensured by constructing a test example similar to the original problem, and comp...

Pseudospectral methods are investigated for singularly perturbed boundary value problems for ordinary diierential equations which possess boundary layers. It is well known that if the boundary layer is very small then a very large number of spectral collocation points is required to obtain accurate solutions. We introduce here a new eeective procedure, based on coordinate stretching and the Che...

The Inverse Polynomial Reconstruction Method (IPRM) has been recently introduced by J.-H. Jung and B. Shizgal in order to remedy the Gibbs phenomenon, see [2], [3], [4], [5]. Their main idea is to reconstruct a given function from its n Fourier coefficients as an algebraic polynomial of degree n− 1. This leads to an n × n system of linear equations, which is solved to find the Legendre coeffici...

Current spectral simulations of Einstein’s equations require writing the equations in first-order form, potentially introducing instabilities and inefficiencies. We present a new penalty method for pseudospectral evolutions of second order in space wave equations. The penalties are constructed as functions of Legendre polynomials and are added to the equations of motion everywhere, not only on ...

Variable high order finite difference methods are applied to calculate the action of molecular Hamiltonians on the wave function using centered equi-spaced stencils, mixed centered and one-sided stencils, and periodic Chebyshev and Legendre grids for the angular variables. Results from one-dimensional model Hamiltonians and the three-dimensional spectroscopic potential of SO2 demonstrate that a...

Radial basis function-Pseudospectral method and Fourier Pseudospectral (FPS) method are extended for stiff nonlinear partial differential equations with a particular emphasis on the comparison of the two methods. Fourth-order Runge-Kutta scheme is applied for temporal discretization. The numerical results indicate that RBF-PS method can be more accurate than standard Fourier pseudospectral meth...

In advancing our prior work on a unified theory for pseudospectral (PS) optimal control, we present new results for PS methods over arbitrary grids. These results provide a way to compare performances among different PS methods and suggest guidelines to choose the proper grids and discretization approaches for solving optimal control problems. The new unified ideas reveal hidden properties of d...

A Fourier-matching pseudospectral modal method [PSMM(f)] is developed for analyzing lamellar diffraction gratings or grating stacks. A Chebyshev pseudospectral method is first used to accurately calculate the eigenmodes of the grating layers, and then the Fourier coefficients are matched at the interfaces between the layers. Compared with an existing pseudospectral modal method based on point m...