We develop an unconditionally energy stable immersed boundary method, and apply it to simulate 2D vesicle dynamics. We adopt a semi-implicit boundary forcing approach, where the stretching factor used in the forcing term can be computed from the derived evolutional equation. By using the projection method to solve the fluid equations, the pressure is decoupled and we have a symmetric positive definite system that can be solved efficiently. The method can be shown to be unconditionally stable, in the sense that the total energy is decreasing. A resulting modification benefits from this improved numerical stability, as the time step size can be significantly increased (the severe time step restriction in an explicit boundary forcing scheme is avoided). As an application, we use our scheme to simulate vesicle dynamics in Navier-Stokes flow.

This paper concerns the Monte Carlo method in pricing American-style options under the general class of exponential Lévy models. Traditionally, one must store all the intermediate asset prices so that they can be used for the backward pricing in the least squares algorithm. Therefore the storage requirement grows like , where m is the number of time steps and n is the number of simulated paths. In this paper, we propose a simulation method where the storage requirement is only . The total computational cost is less than twice that of the traditional method. For machines with limited memory, one can now enlarge m and n to improve the accuracy in pricing the options. In numerical experiments, we illustrate the efficiency and accuracy of our method by pricing American options where the log-prices of the underlying assets follow typical Lévy processes such as Brownian motion, lognormal jump-diffusion process, and variance gamma process.

Based on the shift-splitting technique and the idea of Hermitian and skew-Hermitian splitting, a fast shift-splitting iteration method is proposed for solving nonsingular and singular nonsymmetric saddle point problems in this paper. Convergence and semi-convergence of the proposed iteration method for nonsingular and singular cases are carefully studied, respectively. Numerical experiments are implemented to demonstrate the feasibility and effectiveness of the proposed method.

The Toda equation and its variants are studied in the filed of integrable systems. One particularly generalized time discretisation of the Toda equation is known as the discrete hungry Toda (dhToda) equation, which has two main variants referred to as the dhTodaI equation and dhTodaII equation. The dhToda equations have both been shown to be applicable to the computation of eigenvalues of totally nonnegative (TN) matrices, which are matrices without negative minors. The dhTodaI equation has been investigated with respect to the properties of integrable systems, but the dhTodaII equation has not. Explicit solutions using determinants and matrix representations called Lax pairs are often considered as symbolic properties of discrete integrable systems. In this paper, we clarify the determinant solution and Lax pair of the dhTodaII equation by focusing on an infinite sequence. We show that the resulting determinant solution firmly covers the general solution to the dhTodaII equation, and provide an asymptotic analysis of the general solution as discrete-time variable goes to infinity.

Generalised centrohermitian and skew-centrohermitian matrices arise in a variety of applications in different fields. Based on the vibrating structure equation where M, D, G, K are given matrices with appropriate sizes and x is a column vector, we design a new vibrating structure mode. This mode can be discretised as the left and right inverse eigenvalue problem of a certain structured matrix. When the structured matrix is generalised centrohermitian, we discuss its left and right inverse eigenvalue problem with a submatrix constraint, and then get necessary and sufficient conditions such that the problem is solvable. A general representation of the solutions is presented, and an analytical expression for the solution of the optimal approximation problem in the Frobenius norm is obtained. Finally, the corresponding algorithm to compute the unique optimal approximate solution is presented, and we provide an illustrative numerical example.

In this paper we use two numerical methods to solve constrained optimal control problems governed by elliptic equations with rapidly oscillating coefficients: one is finite element method and the other is multiscale finite element method. We derive the convergence analysis for those two methods. Analytical results show that finite element method can not work when the parameter ε is small enough, while multiscale finite element method is useful for any parameter ε.

The solution of the pressure Poisson equation in spherical polar coordinates using a higher order compact (HOC) scheme effectively captures low pressure values in the wake region for viscous flow past a sphere. In the absence of an exact solution, the fourth-order of accuracy of the results is illustrated. Low pressure circular contours occur in the wake region when the Reynolds number Re = 161, which is a lower value than previously identified in the literature, and closed pressure contours appear in two regions when Re = 250.

A class of finite volume methods is developed for pricing either European or American options under jump-diffusion models based on a linear finite element space. An easy to implement linear interpolation technique is derived to evaluate the integral term involved, and numerical analyses show that the full discrete system matrices are M-matrices. For European option pricing, the resulting dense linear systems are solved by the generalised minimal residual (GMRES) method; while for American options the resulting linear complementarity problems (LCP) are solved using the modulus-based successive overrelaxation (MSOR) method, where the H+-matrix property of the system matrix guarantees convergence. Numerical results are presented to demonstrate the accuracy, efficiency and robustness of these methods.

Two-grid finite element methods for the steady Navier-Stokes/Darcy model are considered. Stability and optimal error estimates in the H1-norm for velocity and piezometric approximations and the L2-norm for pressure are established under mesh sizes satisfying h = H2. A modified decoupled and linearised two-grid algorithm is developed, together with some associated optimal error estimates. Our method and results extend and improve an earlier investigation, and some numerical computations illustrate the efficiency and effectiveness of the new algorithm.

Three iterative stabilised finite element methods based on local Gauss integration are proposed in order to solve the steady two-dimensional Smagorinsky model numerically. The Stokes iterative scheme, the Newton iterative scheme and the Oseen iterative scheme are adopted successively to deal with the nonlinear terms involved. Numerical experiments are carried out to demonstrate their effectiveness. Furthermore, the effect of the parameters Re (the Reynolds number) and δ (the spatial filter radius) on the performance of the iterative numerical results is discussed.

A mathematical model to price convertible bonds involving mixed fractional Brownian motion with jumps is presented. We obtain a general pricing formula using the risk neutral pricing principle and quasi-conditional expectation. The sensitivity of the price to changing various parameters is discussed. Theoretical prices from our jump mixed fractional Brownian motion model are compared with the prices predicted by traditional models. An empirical study shows that our new model is more acceptable.

Incompressible flows with zero Reynolds number can be modeled by the Stokes equations. When numerically solving the Stokes flow in stream-vorticity formulation with high-order accuracy, it will be important to solve both the stream function and velocity components with the high-order accuracy simultaneously. In this work, we will develop a fifth-order spectral/combined compact difference (CCD) method for the Stokes equation in stream-vorticity formulation on the polar geometries, including a unit disk and an annular domain. We first use the truncated Fourier series to derive a coupled system of singular ordinary differential equations for the Fourier coefficients, then use a shifted grid to handle the coordinate singularity without pole condition. More importantly, a three-point CCD scheme is developed to solve the obtained system of differential equations. Numerical results are presented to show that the proposed spectral/CCD method can obtain all physical quantities in the Stokes flow, including the stream function and vorticity function as well as all velocity components, with fifth-order accuracy, which is much more accurate and efficient than low-order methods in the literature.

We provide some computable error estimates in solving a nonsymmetric eigenvalue problem by general conforming finite element methods on general meshes. Based on the complementary method, we first give computable error estimates for both the original eigenfunctions and the corresponding adjoint eigenfunctions, and then we introduce a generalised Rayleigh quotient to deduce a computable error estimate for the eigenvalue approximations. Some numerical examples are presented to illustrate our theoretical results.

A general fractional Taylor formula and its computation for insufficiently smooth functions are discussed. The Aitken delta square method and epsilon algorithm are implemented to compute the critical orders of the local fractional derivatives, from which more critical orders are recovered by analysing the regular pattern of the fractional Taylor formula. The Richardson extrapolation method is used to calculate the local fractional derivatives with critical orders. Numerical examples are provided to verify the theoretical analysis and the effectiveness of our approach.

An efficient numerical method is proposed for the solution of Love's integral equation

where c > 0 is a small parameter, by using a sinc Nyström method based on a double exponential transformation. The method is derived using the property that the solution ƒ(x) of Love's integral equation satisfies ƒ (x) → 0.5 for x ∈ (−1, 1) when the parameter c → 0. Numerical results show that the proposed method is very efficient.

A reduced-order model for distributed feedback control of the Benjamin-Bona-Mahony-Burgers (BBMB) equation is discussed. To retain more information in our model, we first calculate the functional gain in the full-order case, and then invoke the proper orthogonal decomposition (POD) method to design a low-order controller and thereby reduce the order of the model. Numerical experiments demonstrate that a solution of the reduced-order model performs well in comparison with a solution for the full-order description.

A finite difference scheme for the one-dimensional space fractional diffusion equation is presented and analysed. The scheme is constructed by modifying the shifted Grünwald approximation to the spatial fractional derivative and using an asymmetric discretisation technique. By calculating the unknowns in differential nodal point sequences at the odd and even time levels, the discrete solution of the scheme can be obtained explicitly. We prove that the scheme is uniformly stable. The error between the discrete solution and the analytical solution in the discrete l2 norm is optimal in some cases. Numerical results for several examples are consistent with the theoretical analysis.

By introducing a new Gaussian process and a new compensated Poisson random measure, we propose an explicit prediction-correction scheme for solving decoupled forward backward stochastic differential equations with jumps (FBSDEJs). For this scheme, we first theoretically obtain a general error estimate result, which implies that the scheme is stable. Then using this result, we rigorously prove that the accuracy of the explicit scheme can be of second order. Finally, we carry out some numerical experiments to verify our theoretical results.

A minimal model for predator-prey interaction in a composite environment is presented and analysed. We first consider free migrations between two patches for both interacting populations, and then the particular cases where only one-directional migration is allowed and where only one of the two populations can migrate. Our findings indicate that in all cases the ecosystem can never disappear entirely, under the model assumptions. The predator-free equilibrium and the coexistence of all populations are found to be the only feasible stable equilibria. When there are only one-directional migrations, the abandoned patch cannot be repopulated. Other equilibria then arise, with only prey in the second patch, coexistence in the second patch, or prey in both patches but predators only in the second one. For the case of sedentary prey, with predator migration, the prey cannot thrive alone in either of the two environments. However, predators can survive in a prey-free patch due to their ability to migrate into the other patch, provided prey is present there. If only the prey can migrate, the predators may be eliminated from one patch or from both. In the first case, the patch where there are no predators acts as a refuge for the survival of the prey.

A posteriori error estimates of semidiscrete mixed finite element methods for quadratic optimal control problems involving linear parabolic equations are developed. The state and co-state are discretised by Raviart-Thomas mixed finite element spaces of order k, and the control is approximated by piecewise polynomials of order k (k ≥ 0). We derive our a posteriori error estimates for the state and the control approximations via a mixed elliptic reconstruction method. These estimates seem to be unavailable elsewhere in the literature, although they represent an important step towards developing reliable adaptive mixed finite element approximation schemes for the control problem.