• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.6 no.1
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• pp.1-15
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• 2002

Advection-dominated transport problems possess difficulties in the design of numerical methods for solving them. Because of the hyperbolic nature of advective transport, many characteristic numerical methods have been developed such as the classical characteristic method, the Eulerian-Lagrangian method, the transport diffusion method, the modified method of characteristics, the operator splitting method, the Eulerian-Lagrangian localized adjoint method, the characteristic mixed method, and the Eulerian-Lagrangian mixed discontinuous method. In this paper relationships among these characteristic methods are examined. In particular, we show that these sometimes diverse methods can be given a unified formulation. This paper focuses on characteristic finite element methods. Similar examination can be presented for characteristic finite difference methods.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.22 no.1
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• pp.75-89
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• 2018

This paper presents the numerical valuation of the arithmetic Asian option by using the operator-splitting method (OSM). Since there is no closed-form solution for the arithmetic Asian option, finding a good numerical algorithm to value the arithmetic Asian option is important. In this paper, we focus on a two-dimensional PDE. The OSM is famous for dealing with plural-dimensional PDE using finite difference discretization. We provide a detailed numerical algorithm and compare results with MCS method to show the performance of the method.

• Journal of the Korean Mathematical Society
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• v.44 no.3
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• pp.627-645
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• 2007

We investigate the eigenvalues of the semi-circulant preconditioned matrix for the finite difference scheme corresponding to the second-order elliptic operator with the variable coefficients given by $L_vu\;:=-{\Delta}u+a(x,\;y)u_x+b(x,\;y)u_y+d(x,\;y)u$, where a and b are continuously differentiable functions and d is a positive bounded function. The semi-circulant preconditioning operator $L_cu$ is constructed by using the leading term of $L_vu$ plus the constant reaction term such that $L_cu\;:=-{\Delta}u+d_cu$. Using the field of values arguments, we show that the eigenvalues of the preconditioned matrix are clustered at some number. Some numerical evidences are also provided.

• Journal of the Chungcheong Mathematical Society
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• v.29 no.3
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• pp.503-508
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• 2016

We propose a number of finite difference methods for the prices of a European option under the CGMY model. These numerical methods to solve a partial integro-differential equation (PIDE) are based on three time levels in order to avoid fixed point iterations arising from an integral operator. Numerical simulations are carried out to compare these methods with each other for pricing the European option under the CGMY model.

• Proceedings of the Korean Geotechical Society Conference
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• 2000.11a
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• pp.665-672
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• 2000

The problems of discontinuous layer interface are very important in the algorithm and programming for the analysis of multi-layered consolidation using a numerical analysis, finite difference method(F.D,M.). Better results can be obtained by the process for discontinuous layer interface, since it can help consolidation analysis to model the actual ground Explicit method is simple for analysis algorithm and convenient for use except for applying the operator Crank-Nicolson method represents implicit method, which have different analysis method according to weighting factor. This method uses different algorithm according to dimension. And, this paper uses alternative direction implicit method. The purpose of this paper provides an efficient computer algorithm based on numerical analysis using finite difference method which account for multi-layered soils with confined aquifer to determine the degree of consolidation and excess pore pressures relative to time and positions more realistically.

• The Pure and Applied Mathematics
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• v.28 no.4
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• pp.329-341
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• 2021

In this study, we consider an efficient and accurate finite difference method for the four underlying asset equity-linked securities (ELS). The numerical method is based on the operator splitting method with non-uniform grids for the underlying assets. Even though the numerical scheme is implicit, we solve the system of discrete equations in explicit manner using the Thomas algorithm for the tri-diagonal matrix resulting from the system of discrete equations. Therefore, we can use a relatively large time step and the computation of the ELS option pricing is fast. We perform characteristic computational test. The numerical test confirm the usefulness of the proposed method for pricing the four underlying asset equity-linked securities.

• Bulletin of the Korean Mathematical Society
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• v.50 no.6
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• pp.2035-2051
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• 2013

In this paper, we study numerical schemes for solving multi-dimensional option pricing problem. We compare the direct solving method and the Operator Splitting Method(OSM) by using finite difference approximations. By varying parameters of the Black-Scholes equations for the maximum on the call option problem, we observed that there is no significant difference between the two methods on the convergence criterion except a huge difference in computation cost. Therefore, the two methods are compatible in practice and one can improve the time efficiency by combining the OSM with parallel computation technique. We show numerical examples including the Equity-Linked Security(ELS) pricing based on either two assets or three assets by using the OSM with the Monte-Carlo Simulation as the benchmark.

• The Pure and Applied Mathematics
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• v.30 no.1
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• pp.43-65
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• 2023

In this paper, by using the difference analogue of Nevanlinna's theory, the authors study the shared-value problem concerning two higher order difference operators of a transcendental entire function with finite order. The following conclusion is proved: Let f(z) be a finite order transcendental entire function such that λ(f - a(z)) < ρ(f), where a(z)(∈ S(f)) is an entire function and satisfies ρ(a(z)) < 1, and let 𝜂(∈ ℂ) be a constant such that ∆_𝜂ⁿ⁺¹ f(z) ≢ 0. If ∆_𝜂ⁿ⁺¹ f(z) and ∆_𝜂ⁿ f(z) share ∆_𝜂ⁿ a(z) CM, where ∆_𝜂ⁿ a(z) ∈ S ∆_𝜂ⁿ⁺¹ f(z), then f(z) has a specific expression f(z) = a(z) + Be^Az, where A and B are two non-zero constants and a(z) reduces to a constant.

• Bulletin of the Korean Mathematical Society
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• v.58 no.5
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• pp.1109-1127
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• 2021

We study the long-term dynamics for a family of incompressible three-dimensional Leray-α-like models that employ the spectral fractional Laplacian operators. This family of equations interpolates between incompressible hyperviscous Navier-Stokes equations and the Leray-α model when varying two nonnegative parameters 𝜃₁ and 𝜃₂. We prove the existence of a finite-dimensional global attractor for the continuous semigroup associated to these models. We also show that an operator which projects the weak solution of Leray-α-like models into a finite-dimensional space is determining if it annihilates the difference of two "nearby" weak solutions asymptotically, and if it satisfies an approximation inequality.

• Korean Journal of Fisheries and Aquatic Sciences
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• v.27 no.6
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• pp.782-786
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• 1994

Integrated finite difference method (IFDM) is used to solve one dimensional free oscillation problem in the coastal area. To evaluate the solution accuracy of IFDM in free oscillation analysis, two finite difference equations based on area discretization method and point discretization method are derived from the governing equations of free oscillation, respectively. The difference equations are transformed into a generalized eigenvalue problem, respectively. A numerical example is presented, for which the analytical solution is available, for comparing IFDM to conventional finite difference equation (CFDM), qualitatively. The eigenvalue matrices are solved by sub-space iteration method. The numerical results of the two methods are in good agreement with analytical ones, however, IFDM yields better solution than CFDM in lower modes because IFDM only includes first order differential operator in finite difference equation by Green's theorem. From these results, it is concluded that IFDM is useful for the free oscillation analysis in the coastal area.