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  • Search: subject:"Finite difference schemes"
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Year of publication
Subject
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Finite difference schemes 8 Stochastischer Prozess 4 finite difference schemes 4 stochastic differential equations 4 Analysis 3 Fokker-Planck equation 3 Nonstandard finite difference schemes 3 Stochastic process 3 Anlageverhalten 2 Asset pricing 2 Burgers equation 2 Börsenkurs 2 Deutschland 2 Estimation theory 2 Finite difference 2 Mathematical analysis 2 Nonlinear waves 2 Numerical integration 2 Numerical maximum likelihood 2 Option pricing theory 2 Optionspreistheorie 2 Schätztheorie 2 Schätzung 2 Stochastic differential equations 2 Stochastic processes 2 asset pricing 2 diffusions 2 numerical maximum likelihood 2 renormalization group 2 Advection 1 Behavioural finance 1 CPU times 1 Crank–Nicolson Scheme 1 Derivat 1 Derivative 1 Diffusion 1 Diffusion equation 1 Discontinuous coefficients 1 Dynamic consistency 1 Electrochemical modeling 1
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Online availability
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Undetermined 13 Free 2
Type of publication
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Article 15 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4 Working Paper 1
Language
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Undetermined 12 English 6
Author
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Mickens, Ronald E. 5 Lux, Thomas 4 ALBANESE, CLAUDIO 1 Albanese, Claudio 1 Albani, Vinícius 1 Bozzini, Benedetto 1 Chinesta, Francisco 1 Dehghan, M. 1 Dehghan, Mehdi 1 Dilloo, Mehzabeen Jumanah 1 Falcó, Antonio 1 Godlewski, Edwige 1 González, Mariano 1 Lacitignola, Deborah 1 Noye, B.J. 1 Raviart, Pierre-Arnaud 1 Sgura, Ivonne 1 Tangman, Désiré Yannick 1 Zubelli, Jorge P. 1
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Institution
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Institut für Weltwirtschaft (IfW) 1 Instituto Valenciano de Investigaciones Económicas (IVIE) 1
Published in...
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Mathematics and Computers in Simulation (MATCOM) 9 Annals of Finance 1 Annals of finance 1 Finance and stochastics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 Kiel Working Paper 1 Kiel Working Papers 1 The journal of computational finance 1 Working Papers. Serie AD 1
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Source
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RePEc 13 ECONIS (ZBW) 4 EconStor 1
Showing 11 - 18 of 18
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Traveling-wave solutions for a discrete Burgers equation with nonlinear diffusion
Mickens, Ronald E. - In: Mathematics and Computers in Simulation (MATCOM) 80 (2009) 4, pp. 855-859
We construct a nonstandard finite difference (NSFD) scheme for a Burgers type partial differential equation (PDE) for which the diffusion coefficient has a linear dependence on the dependent variable. After a study of this PDE's traveling-wave solutions, we examine the corresponding properties...
Persistent link: https://www.econbiz.de/10010870582
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Determination of denominator functions for a NSFD scheme for the Fisher PDE with linear advection
Mickens, Ronald E. - In: Mathematics and Computers in Simulation (MATCOM) 74 (2007) 2, pp. 190-195
We examine and discuss the general problem of how “denominator functions” are to be calculated when using nonstandard finite difference (NSFD) methods for constructing discrete models of differential equations. Using the example of the Fisher PDE with linear advection, we show that the...
Persistent link: https://www.econbiz.de/10011050460
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A nonstandard finite difference scheme for a PDE modeling combustion with nonlinear advection and diffusion
Mickens, Ronald E. - In: Mathematics and Computers in Simulation (MATCOM) 69 (2005) 5, pp. 439-446
We construct a discrete model for a particular PDE having nonlinear advection, diffusion, and reaction. The use of the author’s nonstandard finite difference methods form the basis for this construction. We demonstrate that the solutions to the scheme satisfy positivity and boundedness...
Persistent link: https://www.econbiz.de/10010870051
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Determination of a control function in three-dimensional parabolic equations
Dehghan, Mehdi - In: Mathematics and Computers in Simulation (MATCOM) 61 (2003) 2, pp. 89-100
This study presents numerical schemes for solving two three-dimensional parabolic inverse problems. These schemes are developed for indentifying the parameter p(t) which satisfy ut=uxx+uyy+uzz+p(t)u+φ, in R×(0,T], u(x,y,z,0)=f(x,y,z),(x,y,z)∈R=[0,1]3. It is assumed that u is known on the...
Persistent link: https://www.econbiz.de/10011050647
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A nonstandard finite difference scheme for the diffusionless Burgers equation with logistic reaction
Mickens, Ronald E. - In: Mathematics and Computers in Simulation (MATCOM) 62 (2003) 1, pp. 117-124
A nonstandard finite difference scheme is constructed for the Burgers partial differential equation having no diffusion and a nonlinear logistic reaction term. This scheme preserves the positivity and boundedness properties of the original differential equation and includes the a priori...
Persistent link: https://www.econbiz.de/10010749352
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A nonstandard finite difference scheme for a nonlinear PDE having diffusive shock wave solutions
Mickens, Ronald E. - In: Mathematics and Computers in Simulation (MATCOM) 55 (2001) 4, pp. 549-555
Nonlinear diffusion processes can give rise to shock wave type solutions. These solutions are usually derived from the application of similarity methods since general solutions to the relevant partial differential equations are not known. We consider the Boltzmann problem and construct an exact...
Persistent link: https://www.econbiz.de/10010750227
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The linearized stability of solutions of nonlinear hyperbolic systems of conservation laws
Godlewski, Edwige; Raviart, Pierre-Arnaud - In: Mathematics and Computers in Simulation (MATCOM) 50 (1999) 1, pp. 77-95
We study the linearized stability of a discontinuous solution of a multidimensional hyperbolic system of conservation laws by linearizing the system around the basic solution; the resulting linearized system has discontinuous coefficients and involves nonconservative products. We propose a...
Persistent link: https://www.econbiz.de/10010748830
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Explicit solution of two-dimensional diffusion subject to specification of mass
Noye, B.J.; Dehghan, M. - In: Mathematics and Computers in Simulation (MATCOM) 37 (1994) 1, pp. 37-45
An explicit finite difference scheme for the numerical solution of the diffusion equation on a rectangular region, subject to a non-local boundary condition in the form of a double integral which simulates the specificaion of mass in a curved region is developed. The scheme, is based on the...
Persistent link: https://www.econbiz.de/10010869881
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