A diffusion-convection problem with a fractional derivative along the trajectory of motion

期刊： RUSSIAN JOURNAL OF NUMERICAL ANALYSIS AND MATHEMATICAL MODELLING, 2021; 36 (3)

A new mathematical model of the diffusion-convective process with 'memory along the flow path' is proposed. This process is described by a homogeneous......

Sharp error estimate for implicit finite element scheme for American put option

期刊： RUSSIAN JOURNAL OF NUMERICAL ANALYSIS AND MATHEMATICAL MODELLING, 2019; 34 (2)

We investigate a numerical solution method for a degenerate parabolic variational inequality that determines American vanilla put pricing. This method......

JIF：0.78

Semi-Lagrangian difference approximations with different stability requirements

期刊： RUSSIAN JOURNAL OF NUMERICAL ANALYSIS AND MATHEMATICAL MODELLING, 2018; 33 (2)

The paper demonstrates different ways of using the semi-Lagrangian approximation depending on the fulfillment of conservation laws. A one-dimensional ......

JIF：0.78