Based on a group of new Saul’yev type asymmetric difference schemes constructed by author, a high-order, unconditionally stable and parallel alternating segment explicit-implicit method for the numerical solution of the fourth-order heat equation is derived in this paper. The truncation error is fourth-order in space, which is much more accurate than the known alternating segment explicit-impli...

Abstract: We consider three level difference replacements of parabolic equations focusing on the heat equation in two space dimensions. Through a judicious splitting of the approximation, the scheme qualifies as an alternating direction implicit (ADI) method. Using the well known fact of the parabolic-elliptic correspondence, we shall derive a two stage iterative procedure employing a fractiona...

In this paper we consider the numerical solution of large-scale projected generalized continuous-time and discrete-time Sylvester equations with low-rank right-hand sides. First, we present the results on the sufficient conditions for the existence, uniqueness, and analytic formula of the solutions of these equations. Second, we review the low-rank alternating direction implicit method and the ...

LOW-RANK ITERATIVE METHODS FOR PROJECTED GENERALIZED LYAPUNOV EQUATIONS TATJANA STYKEL Abstract. We generalize an alternating direction implicit method and the Smith method for large-scale projected generalized Lyapunov equations. Such equations arise in model reduction of descriptor systems. Low-rank versions of these methods are also presented, which can be used to compute low-rank approximat...

The convergence of an alternating direction implicit method for Maxwell’s equations on product domains is investigated. Unlike the classical Yee scheme and most other integrators proposed in the literature, this method is both unconditionally stable and computationally cheap. We prove second-order convergence of the time-discretization in the framework of operator semigroup theory. In contrast ...

Many temporal discretization methods for linear evolution equations converge uniformly on compact time intervals at the rate 1 nα only for sufficiently smooth initial data. It is shown that these methods can be regularized such that the new schemes converge ‘in the average’ at the rate 1 nα for all initial data. Examples given include the Crank-Nicholson scheme and the alternating direction imp...

Maximum drawdown is a risk measure that plays an important role in portfolio management. In this paper, we address the question of computing the expected value of the maximum drawdown using a partial differential equation (PDE) approach. First, we derive a two-dimensional convection-diffusion pricing equation for the maximum drawdown in the Black-Scholes framework. Due to the properties of the ...