The back and forth error compensation and correction (BFECC) method advects the solution forward and then backward in time. The result is compared to the original data to estimate the error. Although inappropriate for parabolic and other nonreversible partial differential equations, it is useful for often troublesome advection terms. The error estimate is used to correct the data before advecti...

[Abstract] In this paper, we introduce a new type of high order shock capturing schemes – uniform weighted compact and non-compact scheme (UWCNC) or simply XJL scheme developed by Xie, Jiang and Liu. This new scheme is based on the feature of discrete data sets instead of the physics. The fundamental task of CFD is to provide an accurate approximation of derivatives for a given discrete data se...

We present a compact high-order finite difference scheme for option pricing in the well-known Heston stochastic volatility model. The scheme is fourth order accurate in space and second order accurate in time. This is also confirmed by the numerical experiments that we present.

A fourth-order compact difference scheme with unrestricted general meshsizes in different coordinate directions is derived to discretize three-dimensional Poisson equation on a regular cubic domain. The difference scheme derivation procedure makes use of the symbolic representation of the finite difference schemes and is easier to understand in such complex three-dimensional manipulations. We u...

We present a simple and efficient compact fourth-order Poisson solver in polar coordinates. This solver relies on the truncated Fourier series expansion, where the differential equations of the Fourier coefficients are solved by the compact fourthorder finite difference scheme. By shifting a grid a half mesh away from the origin and incorporating the symmetry constraint of Fourier coefficients,...

This paper presents a new version of the upwind compact finite difference scheme for solving the incompressible Navier-Stokes equations in generalized curvilinear coordinates. The artificial compressibility approach is used, which transforms the elliptic-parabolic equations into the hyperbolic-parabolic ones so that flux difference splitting can be applied. The convective terms are approximated...

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,...

We derive a new compact high-order finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth order accurate in space and second order accurate in time. To prove results on the unconditional stability in the sense of von Neumann we perform a thorough Fourier analysis of the problem and deduce convergence of our scheme. We present results of numerical exper...