classical explicit finite difference schemes are unsuitable for the solution of the famous black-scholes partial differential equation, since they impose severe restrictions on the time step. furthermore, they may produce spurious oscillations in the solution. we propose a new scheme that is free of spurious oscillations and guarantees the positivity of the solution for arbitrary stepsizes. the...

nonstandard finite difference schemes for the black-scholes partial differential equation preserving the positivity property are proposed. computationally simple schemes are derived by using a nonlocal approximation in the reaction term of the black-scholes equation. unlike the standard methods, the solutions of new proposed schemes are positive and free of the spurious oscillations.

We construct a local Lax-Friedrichs type positivity-preserving flux for compressible Navier-Stokes equations, which can be easily extended to high dimensions for generic forms of equations of state, shear stress tensor and heat flux. With this positivity-preserving flux, any finite volume type schemes including discontinuous Galerkin (DG) schemes with strong stability preserving Runge-Kutta tim...

Classical explicit finite difference schemes are unsuitable for the solution of the famous Black-Scholes partial differential equation, since they impose severe restrictions on the time step. Furthermore, they may produce spurious oscillations in the solution. We propose a new scheme that is free of spurious oscillations and guarantees the positivity of the solution for arbitrary stepsizes. The...

Many important differential equations model quantities whose value must remain positive or stay in some bounded interval. These bounds may not be preserved when the is solved numerically. We propose to ensure positivity other by applying Runge-Kutta integration which method weights are adapted order enforce bounds. The chosen at each step after calculating stage derivatives, a way that also pre...

The positivity-preserving property is an important and challenging issue for the numerical solution of radiative transfer equations. In the past few decades, different numerical techniques have been proposed to guarantee positivity of the radiative intensity in several schemes, however it is difficult to maintain both high order accuracy and positivity. The discontinuous Galerkin (DG) finite el...