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math.NA2023
A positivity-preserving unigrid method for elliptic PDEs
Ronald D. Haynes, Scott MacLachlan, Dawei Wang
While constraints arise naturally in many physical models, their treatment in mathematical and numerical models varies widely, depending on the nature of the constraint and the ava…
math.NA2022
A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing
Dawei Wang, Kirill Serkh, Christina Christara
This paper presents a high-order deferred correction algorithm combined with penalty iteration for solving free and moving boundary problems, using a fourth-order finite difference…