Backward differentiation formula finite difference schemes for diffusion equations with an obstacle term

DOI10.1093/IMANUM/DRAA014MaRDI QIDQ5077019zbMATH OpenOpenAlexFDO

Authors Olivier Bokanowski, Kristian Debrabant

Publication date 17 May 2022

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.05681

zbMATH Keywords

Crank-Nicolson schemediffusion equationnumerical methodsviscosity solutionfinite difference schemehigh-order schemesbackward differentiation formulaobstacle equation

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite difference methods for boundary value problems involving PDEs (65N06)

Abstract: Finite difference schemes, using Backward Differentiation Formula (BDF), are studied for the approximation of one-dimensional diffusion equations with an obstacle term, of the form ${\displaystyle }$min(v_t - a(t,x) v_{xx} + b(t,x) v_x + r(t,x) v, v- varphi(t,x))= f(t,x).${\displaystyle }$ For the scheme building on the second order BDF formula (BDF2), we discuss unconditional stability, prove an $L^2$-error estimate and show numerically second order convergence, in both space and time, unconditionally on the ratio of the mesh steps. In the analysis, an equivalence of the obstacle equation with a Hamilton-Jacobi-Bellman equation is mentioned, and a Crank-Nicolson scheme is tested in this context. Two academic problems for parabolic equations with an obstacle term with explicit solutions and the American option problem in mathematical finance are used for numerical tests.

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(2)

• Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations
• A note on parallel preconditioning for the all-at-once solution of Riesz fractional diffusion equations

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