Numerical procedures for the solution of an inverse problem of determining unknown source parameter in a parabolic equation are considered. Two different numerical procedures are studied and their comparison analysis is presented. One of these procedures obtained by introducing transformation of...

The paper describes an implicit finite difference approach to the pricing of American options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of...

We construct a class of symplectic integration schemes to general Sine–Gordon type systems. We also conduct several numerical tests for these symplectic schemes. Our numerical results demonstrate the effectiveness of these schemes for numerical computation of the solutions to the general...