We propose a discontinuous Galerkin finite element method for convection diffusion equations that involves a new methodology handling the diffusion term. Test function derivative numerical flux term is introduced in the scheme formulation to balance the solution derivative numerical flux term. The scheme has a nonsymmetric structure. For general nonlinear diffusion equations, nonlinear stabilit...

In this article, we propose a numerical algorithm for computing price of discrete single and double barrier option under the emph{Black-Scholes} model. In virtue of some general transformations, the partial differential equations of option pricing in different monitoring dates are converted into simple diffusion equations. The present method is fast compared to alterna...

A diffusion regulation parameter, which operates based on the jump in the Mach number, is presented for implementation in Euler solvers. This diffusion regulation parameter adjusts itself automatically in different regimes of the flow and leads to the exact capturing of steady contact discontinuities which are aligned with the grid-lines. This diffusion regulator parameter reduces numerical dis...