• Title/Summary/Keyword: numerical discretization

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MODULUS-BASED SUCCESSIVE OVERRELAXATION METHOD FOR PRICING AMERICAN OPTIONS

  • Zheng, Ning;Yin, Jun-Feng
    • Journal of applied mathematics & informatics
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    • v.31 no.5_6
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    • pp.769-784
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    • 2013
  • We consider the modulus-based successive overrelaxation method for the linear complementarity problems from the discretization of Black-Scholes American options model. The $H_+$-matrix property of the system matrix discretized from American option pricing which guarantees the convergence of the proposed method for the linear complementarity problem is analyzed. Numerical experiments confirm the theoretical analysis, and further show that the modulus-based successive overrelaxation method is superior to the classical projected successive overrelaxation method with optimal parameter.

ANALYSIS OF A MESHFREE METHOD FOR THE COMPRESSIBLE EULER EQUATIONS

  • Kim, Yong-Sik;Pahk, Dae-Hyeon
    • Journal of the Korean Mathematical Society
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    • v.43 no.5
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    • pp.1081-1098
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    • 2006
  • Mathematical analysis is made on a mesh free method for the compressible Euler equations. In particular, the Moving Least Square Reproducing Kernel (MLSRK) method is employed for space approximation. With the backward-Euler method used for time discretization, existence of discrete solution and it's $L^2-error$ estimate are obtained under a regularity assumption of the continuous solution. The result of numerical experiment made on the biconvex airfoil is presented.

Temperature distribution & heat transfer of rectangular cross section by the higher-order triangular finite element method (고차 삼각형 유한요소에 의한 구형단면의 온도분포와 열전달)

  • 용호택;서정일;조진호
    • Journal of the korean Society of Automotive Engineers
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    • v.3 no.3
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    • pp.24-29
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    • 1981
  • This paper is studied an efficient temperature distribution and heat transfer of two-dimensional rectangular cross-section by the higher-order triangular finite dynamic element and finite difference. This is achieved by employing a discretization technique based on a recently developed concept of finite dynamic elements, involving higher order dynamic correction terms in the associated stiffness and convection matrices. Numerical solution results of temperature distribution presented herein clearly optimum element and show that FEM10 is the most accurate temperature distribution, but heat transfer and computational effort is the most acquired.

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A Study on the Location of Pan for n Optimal Flow in Water Pool (최적유동을 위한 수조 내 팬의 위치에 관한 연구)

  • 박성수;도영민;유재환
    • Journal of the Korean Society of Safety
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    • v.17 no.3
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    • pp.50-55
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    • 2002
  • In this numerical study, characteristics of swirl generation by the fan and selection of the location of the fan was studied theoretically by the modified TEACH code. The governing equations for the system are solved by means of the k dimensional version of the SIMPLE method and STAGGERED grid. From the present results, the optimal position of the fm is 0.625(h/H).

Block LU Factorization for the Coupled Stokes Equations by Spectral Element Discretization

  • Piao, Xiangfan;Kim, Philsu;Kim, Sang Dong
    • Kyungpook Mathematical Journal
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    • v.52 no.4
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    • pp.359-373
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    • 2012
  • The block LU factorization is used to solve the coupled Stokes equations arisen from an optimal control problem subject to Stokes equations. The convergence of the spectral element solution is proved. Some numerical evidences are provided for the model coupled Stokes equations. Moreover, as an application, this algorithm is performed for an optimal control problem.

On the Springback Analysis of Sheet Metal Forming (판재성형의 탄성복원해석에 대하여)

  • 조진우;정완진
    • Transactions of Materials Processing
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    • v.6 no.5
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    • pp.386-394
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    • 1997
  • The analysis of the springback is done based on the stress of sheet after forming. Therfore, it is important to get the accurate stress from forming analysis. In this study, some parameters that influence on the accuracy of the springback estimation are investigated. Discretization of sheet and tools, choice of penalty constant and damping in contact treatment, and tool speed scaling are chosen as parameters. As a numerical example, the 2D draw bending benchmark problem of the NUMISHEET'93 is used. Also, the springback results of the s-rail benchmark problem of the NUMISHEET'96 are presented.

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A boundary element approach for quasibrittle fracture propagation analysis

  • Tin-Loi, F.
    • Structural Engineering and Mechanics
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    • v.8 no.5
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    • pp.439-452
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    • 1999
  • A simple numerical scheme suitable for tracing the fracture propagation path for structures idealized by means of Hillerborg's classical cohesive crack model is presented. A direct collocation, multidomain boundary element method is adopted for the required space discretization. The algorithm proposed is necessarily iterative in nature since the crack itinerary is a priori unknown. The fracture process is assumed to be governed by a path-dependent generally nonlinear softening law. The potentialities of the method are illustrated through two examples.

SUPERCONVERGENCE OF CRANK-NICOLSON MIXED FINITE ELEMENT SOLUTION OF PARABOLIC PROBLEMS

  • Kwon, Dae Sung;Park, Eun-Jae
    • Korean Journal of Mathematics
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    • v.13 no.2
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    • pp.139-148
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    • 2005
  • In this paper we extend the mixed finite element method and its $L_2$-error estimate for postprocessed solutions by using Crank-Nicolson time-discretization method. Global $O(h^2+({\Delta}t)^2)$-superconvergence for the lowest order Raviart-Thomas element ($Q_0-Q_{1,0}{\times}Q_{0,1}$) are obtained. Numerical examples are presented to confirm superconvergence phenomena.

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Aerodynamic Characteristics of 2-D, Unsteady Flow Past a Square Cylinder (Revaluation of SOLA Scheme) (2차원각주의 비정상 공력특성(SOLA스킴의 재평가))

  • 이영호
    • Journal of Advanced Marine Engineering and Technology
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    • v.14 no.2
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    • pp.48-65
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    • 1990
  • Numerical solutions of the Navier-Stokes equations, governing 2-dimensional, time-dependent, viscous, incompressible fluid flow past a square cylinde in an infinite region, are presented for Reynolds numbers $10^2$, $10^3$and $10^4$. Finite-difference scheme, based on SOLA-VOF is adopted and a discretization of the convection term for irregular grid is newly suggested by altering the original nonconservation form into conservation one. Distribution of finer grids around the body reveals fairly reasonable consistency with the experimental variables : drag coefficient, lift coefficient, Strouhal number, fluctuating pressure coefficient, etc.

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