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, we present a finite difference scheme for a class of time fractional diffusion equation with variable coefficient, where the fractional derivative is defined by the Caputo derivative. The present algorithm is unconditionally stable, and possess spatial sixth order and temporal 2 − α order accuracy, which is an improvement of the spatial fourth order accuracy in the existing resul...

In this paper, we present two new one-step iterative methods based on Thiele’s continued fraction for solving nonlinear equations. By applying the truncated Thiele’s continued fraction twice, the iterative methods are obtained respectively. Analysis of convergence shows that the new methods are fourth-order convergent. Numerical tests verifying the theory are given and based on the methods, two...

We derive a class of extended one-step methods of order m for solving delay-differential equations. This class includes methods of fourth and fifth order of accuracy. Also, the class of these methods depends on two free parameters. A convergence theorem and convergence factor of these methods are given. In addition, we investigate the stability properties of these methods. The results of the ar...

Recently, stretched exponential decay of multiple correlations in the periodic Lorentz gas has been used to show the convergence of a series of correlations which has the physical interpretations as the fourth order Burnett coefficient, a generalization of the diffusion coefficient. Here the result is extended to include all higher order Burnett coefficients, and give a plausible argument that ...