The dynamic calculations of slender marine risers, such as Finite Element Method （FEM） or Modal Expansion Solution Method （MESM）, are mainly for the slender structures with their both ends hinged to the surface an...The dynamic calculations of slender marine risers, such as Finite Element Method （FEM） or Modal Expansion Solution Method （MESM）, are mainly for the slender structures with their both ends hinged to the surface and bottom. However, for the re-entry operation, risers held by vessels are in vertical free hanging state, so the displacement and velocity of lower joint would not be zero. For the model of free hanging flexible marine risers, the paper proposed a Finite Difference Approximation （FDA） method for its dynamic calculation. The riser is divided into a reasonable number of rigid discrete segments. And the dynamic model is established based on simple Euler-Bemoulli Beam Theory concerning tension, shear forces and bending moments at each node along the cylindrical structures, which is extendible for different boundary conditions. The governing equations with specific boundary conditions for riser＇s free hanging state are simplified by Keller-box method and solved with Newton iteration algorithm for a stable dynamic solution. The calculation starts when the riser is vertical and still in calm water, and its behavior is obtained along time responding to the lateral forward motion at the top. The dynamic behavior in response to the lateral parametric excitation at the top is also proposed and discussed in this paper.展开更多
In this paper we are concerned with the pricing of lookback options with American type constrains. Based on the differential linear complementary formula associated with the pricing problem, an implicit difference sch...In this paper we are concerned with the pricing of lookback options with American type constrains. Based on the differential linear complementary formula associated with the pricing problem, an implicit difference scheme is constructed and analyzed. We show that there exists a unique difference solution which is unconditionally stable. Using the notion of viscosity solutions, we also prove that the finite difference solution converges uniformly to the viscosity solution of the continuous problem. Furthermore, by means of the variational inequality analysis method, the O（△t ＋ △x^2）-order error estimate is derived in the discrete L2-norm provided that the continuous problem is sufficiently regular. In addition, a numerical example is provided to illustrate the theoretical results.展开更多
Time fractional diffusion equation is usually used to describe the problems involving non-Markovian random walks. This kind of equation is obtained from the standard diffusion equation by replacing the first-order tim...Time fractional diffusion equation is usually used to describe the problems involving non-Markovian random walks. This kind of equation is obtained from the standard diffusion equation by replacing the first-order time derivative with a fractional derivative of order α∈(0, 1). In this paper, an implicit finite difference scheme for solving the time fractional diffusion equation with source term is presented and analyzed, where the fractional derivative is described in the Caputo sense. Stability and convergence of this scheme are rigorously established by a Fourier analysis. And using numerical experiments illustrates the accuracy and effectiveness of the scheme mentioned in this paper.展开更多
Surface Laplacian map provides a better spatial resolution than surface potential distribution. Different order finite difference approximations are deduced and compared by simulations on a plane in this paper. The re...Surface Laplacian map provides a better spatial resolution than surface potential distribution. Different order finite difference approximations are deduced and compared by simulations on a plane in this paper. The results show high order approximation is better than low order approximation for noiseless situation. However, low order approximation is better for noise suppression. Results also show Laplacian is more sensitive to shallow neural activities and the temporal course of neural activities can be correctly reconstructed by a finite difference Laplacian.展开更多
Numerical simulation of complex flow fields with multi-scale structures is one of the most important and challenging branches of computational fluid dynamics. From linear analysis and numerical experiments it has been...Numerical simulation of complex flow fields with multi-scale structures is one of the most important and challenging branches of computational fluid dynamics. From linear analysis and numerical experiments it has been discovered that the higher-order accurate method can give reliable and efficient computational results, as well as better resolution of the complex flow fields with multi-scale structures. Compact finite difference schemes, which feature higher-order accuracy and spectral-like resolution with smaller stencils and easier application of boundary conditions, has attracted more and more interest and attention.展开更多
In this paper, we consider the numerical solution of decoupled mean-field forward backward stochastic differential equations with jumps (MFBSDEJs). By using finite difference approximations and the Gaussian quadrature...In this paper, we consider the numerical solution of decoupled mean-field forward backward stochastic differential equations with jumps (MFBSDEJs). By using finite difference approximations and the Gaussian quadrature rule, and the weak order 2.0 Itô-Taylor scheme to solve the forward mean-field SDEs with jumps, we propose a new second order scheme for MFBSDEJs. The proposed scheme allows an easy implementation. Some numerical experiments are carried out to demonstrate the stability, the effectiveness and the second order accuracy of the scheme.展开更多
In this paper, a space fractional differential equation is considered. The equation is obtained from the parabolic equation containing advection, diffusion and reaction terms by replacing the second order derivative i...In this paper, a space fractional differential equation is considered. The equation is obtained from the parabolic equation containing advection, diffusion and reaction terms by replacing the second order derivative in space by a fractional derivative in space of order. An implicit finite difference approximation for this equation is presented. The stability and convergence of the finite difference approximation are proved. A fractional-order method of lines is also presented. Finally, some numerical results are given.展开更多
By using the Feynman-Kac formula and combining with Itˆo-Taylor expansion and finite difference approximation,we first develop an explicit third order onestep method for solving decoupled forward backward stochastic d...By using the Feynman-Kac formula and combining with Itˆo-Taylor expansion and finite difference approximation,we first develop an explicit third order onestep method for solving decoupled forward backward stochastic differential equations.Then based on the third order one,an explicit fourth order method is further proposed.Several numerical tests are also presented to illustrate the stability and high order accuracy of the proposed methods.展开更多
基金supported and sponsored jointly by the National Natural Science Foundation of China(Grand Nos.51009092 and 50909061)Doctoral Foundation of the Ministry of Education of China(Grand No.20090073120013)the National High Technology Research and Development Program of China(863Program,Grand No.2008AA092301-1)
文摘The dynamic calculations of slender marine risers, such as Finite Element Method （FEM） or Modal Expansion Solution Method （MESM）, are mainly for the slender structures with their both ends hinged to the surface and bottom. However, for the re-entry operation, risers held by vessels are in vertical free hanging state, so the displacement and velocity of lower joint would not be zero. For the model of free hanging flexible marine risers, the paper proposed a Finite Difference Approximation （FDA） method for its dynamic calculation. The riser is divided into a reasonable number of rigid discrete segments. And the dynamic model is established based on simple Euler-Bemoulli Beam Theory concerning tension, shear forces and bending moments at each node along the cylindrical structures, which is extendible for different boundary conditions. The governing equations with specific boundary conditions for riser＇s free hanging state are simplified by Keller-box method and solved with Newton iteration algorithm for a stable dynamic solution. The calculation starts when the riser is vertical and still in calm water, and its behavior is obtained along time responding to the lateral forward motion at the top. The dynamic behavior in response to the lateral parametric excitation at the top is also proposed and discussed in this paper.
基金supported in part by the National Basic Research Program(2007CB814906)the National Natural Science Foundation of China(10771031,10471019,10471103,and 10771158)+1 种基金Social Science Foundation of the Ministry of Education of China(Numerical methods for convertible bonds,06JA630047)Tianjin Natural Science Foundation(07JCYBJC14300)and Tianjin University of Finance and Economics
文摘In this paper we are concerned with the pricing of lookback options with American type constrains. Based on the differential linear complementary formula associated with the pricing problem, an implicit difference scheme is constructed and analyzed. We show that there exists a unique difference solution which is unconditionally stable. Using the notion of viscosity solutions, we also prove that the finite difference solution converges uniformly to the viscosity solution of the continuous problem. Furthermore, by means of the variational inequality analysis method, the O（△t ＋ △x^2）-order error estimate is derived in the discrete L2-norm provided that the continuous problem is sufficiently regular. In addition, a numerical example is provided to illustrate the theoretical results.
基金Supported by the Discipline Construction and Teaching Research Fund of LUTcte(20140089)
文摘Time fractional diffusion equation is usually used to describe the problems involving non-Markovian random walks. This kind of equation is obtained from the standard diffusion equation by replacing the first-order time derivative with a fractional derivative of order α∈(0, 1). In this paper, an implicit finite difference scheme for solving the time fractional diffusion equation with source term is presented and analyzed, where the fractional derivative is described in the Caputo sense. Stability and convergence of this scheme are rigorously established by a Fourier analysis. And using numerical experiments illustrates the accuracy and effectiveness of the scheme mentioned in this paper.
基金Supported by the 973 Project (No.2003CB716106) and the National Natural Science Foundation of China (No. 60571019, 30525030).
文摘Surface Laplacian map provides a better spatial resolution than surface potential distribution. Different order finite difference approximations are deduced and compared by simulations on a plane in this paper. The results show high order approximation is better than low order approximation for noiseless situation. However, low order approximation is better for noise suppression. Results also show Laplacian is more sensitive to shallow neural activities and the temporal course of neural activities can be correctly reconstructed by a finite difference Laplacian.
文摘Numerical simulation of complex flow fields with multi-scale structures is one of the most important and challenging branches of computational fluid dynamics. From linear analysis and numerical experiments it has been discovered that the higher-order accurate method can give reliable and efficient computational results, as well as better resolution of the complex flow fields with multi-scale structures. Compact finite difference schemes, which feature higher-order accuracy and spectral-like resolution with smaller stencils and easier application of boundary conditions, has attracted more and more interest and attention.
基金supported by the NSF of China(Grant Nos.12071261,12371398,12001539,11831010,11871068)by the China Postdoctoral Science Foundation(Grant No.2019TQ0073)by the Science Challenge Project(Grant No.TZ2018001)and by the National Key R&D Program of China(Grant No.2018YFA0703900).
文摘In this paper, we consider the numerical solution of decoupled mean-field forward backward stochastic differential equations with jumps (MFBSDEJs). By using finite difference approximations and the Gaussian quadrature rule, and the weak order 2.0 Itô-Taylor scheme to solve the forward mean-field SDEs with jumps, we propose a new second order scheme for MFBSDEJs. The proposed scheme allows an easy implementation. Some numerical experiments are carried out to demonstrate the stability, the effectiveness and the second order accuracy of the scheme.
文摘In this paper, a space fractional differential equation is considered. The equation is obtained from the parabolic equation containing advection, diffusion and reaction terms by replacing the second order derivative in space by a fractional derivative in space of order. An implicit finite difference approximation for this equation is presented. The stability and convergence of the finite difference approximation are proved. A fractional-order method of lines is also presented. Finally, some numerical results are given.
基金supported by the NSF of China(No.12001539)the NSF of Hunan Province(No.2020JJ5647)China Postdoctoral Science Foundation(No.2019TQ0073).
文摘By using the Feynman-Kac formula and combining with Itˆo-Taylor expansion and finite difference approximation,we first develop an explicit third order onestep method for solving decoupled forward backward stochastic differential equations.Then based on the third order one,an explicit fourth order method is further proposed.Several numerical tests are also presented to illustrate the stability and high order accuracy of the proposed methods.
