This paper presents a finite point method based on directional derivatives for diffusion equation on 2D scattered points. To discretize the diffusion operator at a given point, a six-point stencil is derived by employing explicit numerical formulae of directional derivatives, namely, for the point under consideration, only five neighbor points are involved, the number of which is the smallest f...

The option-pricing problem is always an important part in modern finance. Assuming that the stock diffusion is a constant, some literature has introduced many stock models and given corresponding option pricing formulas within the framework of the uncertainty theory. In this paper, we propose a new stock model with uncertain stock diffusion for uncertain markets. Some option pricing formulas on...

in this article, we propose an adaptive grid based on mesh equidistribution principle for two-parameter convection-diffusion boundary value problems with continuous and discontinuous data. a numerical algorithm based on an upwind finite difference operator and an appropriate adaptive grid is constructed. truncation errors are derived for both continuous and discontinuous problems. parameter uni...

This paper concerns the numerical schemes describing solute transport in fissured systems which are characterized by the tectonic blocks and spatial repartition of hydraulic properties with dual permeability structures composed of highand low-permeability blocks of the chalk aquifer (Northern France). Both advection and diffusion mechanisms are taken into account. The novel mathematical approac...

Fractional order diffusion equations are generalizations of classical diffusion equations which are used to model in physics, finance, engineering, etc. In this paper we present an implicit difference approximation by using the alternating directions implicit (ADI) approach to solve the two-dimensional space-time fractional diffusion equation (2DSTFDE) on a finite domain. Consistency, unconditi...

We consider the Maxwell-Stefan model of diffusion in a multicomponent gaseous mixture. After focusing on the main differences with the Fickian diffusion model, we study the equations governing a three-component gas mixture. Mostly in the case of a tridiagonal diffusion matrix, we provide a qualitative and quantitative mathematical analysis of the model. We develop moreover a standard explicit n...

Space and time scales are not independent in diffusion. In fact, numerical simulations show that different patterns are obtained when space and time steps (∆x and ∆t) are varied independently. On the other hand, anisotropy effects due to the symmetries of the discretization lattice prevent the quantitative calibration of models. We introduce a new class of explicit difference methods for numeri...

in this paper, a high-order and conditionally stable stochastic difference scheme is proposed for the numerical solution of $rm ithat{o}$ stochastic advection diffusion equation with one dimensional white noise process. we applied a finite difference approximation of fourth-order for discretizing space spatial derivative of this equation. the main properties of deterministic difference schemes,...

in this paper, a new numerical method for solving time-fractional diffusion equations is introduced. for this purpose, finite difference scheme for discretization in time and chebyshev collocation method is applied. also, to simplify application of the method, the matrix form of the suggested method is obtained. illustrative examples show that the proposed method is very efficient and accurate.