• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.28 no.3
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• pp.88-95
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• 2024

In this article, we propose an efficient and accurate adaptive time-stepping numerical method for the Black-Scholes (BS) equations. The numerical scheme used is the finite difference method (FDM). The proposed adaptive time-stepping computational scheme is based on the maximum norm of the discrete Laplacian values of option values on a discrete domain. Most numerical solvers for the BS equations require a small time step when there are large variations in the solutions. To resolve this problem, we propose an adaptive time-stepping algorithm that uses a small time step size when the maximum norm of the discrete Laplacian values on a discrete domain is large; otherwise, a larger time step size is used to speed up the computation. To demonstrate the high performance of the proposed adaptive time-stepping methodology, we conduct several computational experiments. The numerical tests confirm that the proposed adaptive time-stepping method improves both the efficiency and accuracy of computations for the BS equations.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.61 no.8
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• pp.1123-1129
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• 2012

This paper presents the fast steady state analysis using time-stepping finite element method for a high power three-phase transformer. The high power transformer spends huge computational cost of the time-stepping finite element method. It is because that the high power transformer requires a lot of time to reach steady state by its large inductance component. In order to reduce computational cost, in this paper, the adaptive time-step control algorithm combined with the embedded 2nd 4th singly diagonally implicit Runge-Kutta method and the analysis strategy using variation of the winding resistance are studied, and their numerical results are compared with those from the typical time-stepping finite element method.

• Journal of applied mathematics & informatics
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• v.29 no.5_6
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• pp.1129-1141
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• 2011

In this paper, a class of large time-stepping method based on the finite element discretization for the Cahn-Hilliard equation with the Neumann boundary conditions is developed. The equation is discretized by finite element method in space and semi-implicit schemes in time. For the first order fully discrete scheme, convergence property is investigated by using finite element analysis. Numerical experiment is presented, which demonstrates the effectiveness of the large time-stepping approaches.

• 한국전산유체공학회:학술대회논문집
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• 2001.05a
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• pp.127-133
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• 2001

In this paper, the preconditioned multistage time stepping methods which are popular multigrid smoothers is studied for the compressible flow calculations. Fourier analysis on the local time stepping and block-Jacobi preconditioned residual operators is performed using the linearized 2-D Navier-Stokes equations. It fumed out that block-Jacobi preconditioner has better performance in eigenvalue clustering. They are implemented in the 2-D compressible Euler and Wavier-Stokes calculations with multigrid methods to verify that the block-Jacobi preconditioned multistage time stepping shows better performance in convergence acceleration.

• Transactions of the Korean Society of Mechanical Engineers B
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• v.22 no.6
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• pp.788-802
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• 1998

A numerical method using dual time stepping and preconditioning procedure for efficient computations of unsteady low speed compressible flow problems is developed. The time-derivative preconditioning method which is valid at low speed flow conditions cannot maintain temporal accuracy because of the modification of the time-derivative term in Navier-Stokes equations. The dual time stepping procedure is incorporated to enable the time accurate computations and this procedure introduces a pseudo-time derivative in addition to the physical time derivative. At a given physical time, an inner iteration can be carried out until a steady state in pseudo-time is achieved. This will effectively yield a time accurate solution. Computational capabilities of the above algorithm are demonstrated through computation of a variety of practical fluid flows and it is shown that the algorithms is efficient in the essentially incompressible flows and low Mach number compressible flows with heat source.

• Structural Engineering and Mechanics
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• v.4 no.1
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• pp.61-72
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• 1996

The time-stepping boundary element method has been so far applied by the authors to transient heat conduction in isotropic solids as well as in orthotropic solids. In this paper, attempt is made to extend the method to 2-D transient heat conduction in arbitrarily anisotropic solids. The resulting boundary integral equation is discretized by means of the boundary element with quadratic interpolation. The final system of equations thus obtained is solved by advancing the time step from the given initial state to the final state. Through numerical compuation of a few examples the potential usefulness of the proposed method is demonstrated.

• 한국전산유체공학회:학술대회논문집
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• 2003.10a
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• pp.299-300
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• 2003

• KIEE International Transaction on Electrical Machinery and Energy Conversion Systems
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• v.11B no.2
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• pp.15-21
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• 2001

This paper presents an improved characteristic analysis methodology for a 5-phase hybrid stepping motor. The basic approach is based on the use of equivalent magnetic circuit taking into account the localized saturation throughout the hybrid stepping motor. The finite element method(FEM) is used to generate the magnetic circuit parameters for the complex stator and rotor teeth and airgap considering the saturation effects in tooth and poles. In addition, the neural network is used to map a change of parameters and predicts their approximation. Therefore, the proposed method efficiently improves the accuracy of analysis by using the parameter characterizing localized saturation effects and reduces the computational time by using the neural network. An improved circuit model of 5-phase hybrid stepping motor is presented and its application is provided to demonstrate the effectiveness of the proposed method.

• Journal of KSNVE
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• v.9 no.6
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• pp.1240-1246
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• 1999

A prior error estimator which is solving structural dynamic problems and which is based on the generalized-method, is developed. Since the proposed error estimator is computed with only previous information, the time step size can be adaptively selected without the feedback mechanism. This paper shows that the automatic time stepping algorithm using the error estimator performs an efficient time integration. To verify its efficiency, several examples are numerically investigated.

• KIEE International Transaction on Electrical Machinery and Energy Conversion Systems
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• v.5B no.1
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• pp.39-42
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• 2005

Though full 3D analysis is the proper method to analyze the hybrid stepping motor (HSM), it has weak points in the areas of computation time and complexity. This paper introduces 2D FEA using a virtual magnetic barrier for the axial cross section to save computation time. For the purpose of 2D FEA, the virtual magnetic barrier and equivalent permanent magnet model of HSM are proposed. This result is compared with that of experimental and 3D analysis, considered as a reference result.