• East Asian mathematical journal
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• v.16 no.1
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• pp.97-103
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• 2000

In this work, we consider a finite difference operator $L^2_N$ corresponding to $$Lu:=-(u_{xx}+u_{yy})\;in\;{\Omega},\;u=0\;on\;{\partial}{\Omega}$$, in $S_{h^2,1}$. We derive the relation between the absolute value of the bilinear form $l_{N^2}$(u, v) on $S_{h^2,1}{\times}S_{h^2,1}$ and Sobolev $H^1$ norms.

• Bulletin of the Korean Mathematical Society
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• v.38 no.1
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• pp.17-27
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• 2001

We discuss a finite difference preconditioner for the$C^1$ Lagrance quadratic spline collocation method for a uniformly elliptic operator with homogeneous Dirichlet boundary conditions. Using the generalized field of values argument, we analyzed eigenvalues of the matrix preconditioned by the matrix corresponding to a finite difference operator with zero boundary condition.

• Bulletin of the Korean Mathematical Society
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• v.51 no.5
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• pp.1291-1297
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• 2014

In this paper, we investigate the value distribution of the difference operator on meromorphic functions, and obtain a difference analogue of a theorem of Hayman on meromorphic functions.

• Journal of the Korean Mathematical Society
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• v.51 no.4
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• pp.679-702
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• 2014

Investigation of the numerical solution of singularly perturbed turning point problems dates back to late 1970s. However, due to the presence of layers, not many high order schemes could be developed to solve such problems. On the other hand, one could think of applying the convergence acceleration technique to improve the performance of existing numerical methods. However, that itself posed some challenges. To this end, we design and analyze a novel fitted operator finite difference method (FOFDM) to solve this type of problems. Then we develop a fitted mesh finite difference method (FMFDM). Our detailed convergence analysis shows that this FMFDM is robust with respect to the singular perturbation parameter. Then we investigate the effect of Richardson extrapolation on both of these methods. We observe that, the accuracy is improved in both cases whereas the rate of convergence depends on the particular scheme being used.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.14 no.3
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• pp.175-187
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• 2010

This paper presents the numerical valuation of the two-asset step-down equitylinked securities (ELS) option by using the operator-splitting method (OSM). The ELS is one of the most popular financial options. The value of ELS option can be modeled by a modified Black-Scholes partial differential equation. However, regardless of whether there is a closedform solution, it is difficult and not efficient to evaluate the solution because such a solution would be represented by multiple integrations. Thus, a fast and accurate numerical algorithm is needed to value the price of the ELS option. This paper uses a finite difference method to discretize the governing equation and applies the OSM to solve the resulting discrete equations. The OSM is very robust and accurate in evaluating finite difference discretizations. We provide a detailed numerical algorithm and computational results showing the performance of the method for two underlying asset option pricing problems such as cash-or-nothing and stepdown ELS. Final option value of two-asset step-down ELS is obtained by a weighted average value using probability which is estimated by performing a MC simulation.

• The Pure and Applied Mathematics
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• v.21 no.2
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• pp.129-139
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• 2014

In this paper, we present a detailed comparison of the performance of the numerical solvers such as the biconjugate gradient stabilized, operator splitting, and multigrid methods for solving the two-dimensional Black-Scholes equation. The equation is discretized by the finite difference method. The computational results demonstrate that the operator splitting method is fastest among these solvers with the same level of accuracy.

• Journal of applied mathematics & informatics
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• v.31 no.1_2
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• pp.299-309
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• 2013

In this paper, we introduce a new numerical technique which we call fractional Chebyshev finite difference method (FChFD). The algorithm is based on a combination of the useful properties of Chebyshev polynomials approximation and finite difference method. We tested this technique to solve numerically fractional BVPs. The proposed technique is based on using matrix operator expressions which applies to the differential terms. The operational matrix method is derived in our approach in order to approximate the fractional derivatives. This operational matrix method can be regarded as a non-uniform finite difference scheme. The error bound for the fractional derivatives is introduced. The fractional derivatives are presented in terms of Caputo sense. The application of the method to fractional BVPs leads to algebraic systems which can be solved by an appropriate method. Several numerical examples are provided to confirm the accuracy and the effectiveness of the proposed method.

• Bulletin of the Korean Mathematical Society
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• v.52 no.5
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• pp.1401-1422
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• 2015

Under the restriction of finite order, we prove two uniqueness theorems of nonconstant meromorphic functions sharing three values with their difference operators, which are counterparts of Theorem 2.1 in [6] for a finite-order meromorphic function and its shift operator.

• Kyungpook Mathematical Journal
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• v.56 no.1
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• pp.125-130
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• 2016

A finite rank difference of two composition operators is studied on a Hilbert Lebesgue space or a Hilbert Hardy space.

• Kyungpook Mathematical Journal
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• v.47 no.4
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• pp.529-548
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• 2007

The purpose of this article is to find a relation between the finite difference method and the boundary element method, and propose a new approach deriving a discrete approximation formula as like that of the finite difference method for harmonic functions. We develop a discrete approximation formula on a uniform grid based on the boundary integral formulations. We consider three different boundary integral formulations and derive one discrete approximation formula on the uniform grid for the harmonic function. We show that the proposed discrete approximation formula has the same computational molecules with that of the finite difference formula for the Laplace operator ${\nabla}^2$.