Convergence of an exponential Runge-Kutta method for non-smooth initial data

MaRDI QIDQ5230864zbMATH OpenFDO

Authors Muhammad Asif Gondal, Inayatur Rehman, Asima Razzaque

Publication date 29 August 2019

Full work available at URL https://www.ejpam.com/index.php/ejpam/article/view/3423

zbMATH Keywords

integro-differential equationsexponential integratorsRunge-Kutta methods

Mathematics Subject Classification ID

Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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Cites work

• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• Comparative performance of exponential, implicit, and explicit integrators for stiff systems of ODEs
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
• Explicit Exponential Runge--Kutta Methods for Semilinear Parabolic Problems
• Exponential Rosenbrock integrators for option pricing
• Exponential Runge-Kutta methods for parabolic problems.
• Exponential collocation methods for conservative or dissipative systems
• Exponential integrators
• Exponential time integration and Chebychev discretisation schemes for fast pricing of options
• Further development of efficient and accurate time integration schemes for meteorological models
• Geometric theory of semilinear parabolic equations
• Non-smooth data error estimates for linearly implicit Runge-Kutta methods
• Numerical valuation of options with jumps in the underlying
• Option pricing when underlying stock returns are discontinuous
• Runge-Kutta time discretization of reaction-diffusion and Navier-Stokes equations: Nonsmooth-data error estimates and applications to long-time behaviour
• Semidiscretization in Time for Parabolic Problems
• Semigroups of linear operators and applications to partial differential equations

Cited in

(2)

• A high-order exponential integrator for nonlinear parabolic equations with nonsmooth initial data
• A note on exponential Rosenbrock-Euler method for the finite element discretization of a semilinear parabolic partial differential equation

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