5 papers
Boundary treatment for high-order IMEX Runge-Kutta local discontinuous Galerkin schemes for multidimensional nonlinear parabolic PDEs
V. González-Tabernero, J. G. López-Salas, M. J. Castro-DÃaz +1
In this article, we propose novel boundary treatment algorithms to avoid order reduction when implicit-explicit Runge-Kutta time discretization is used for solving convection-diffu…
A second order finite volume IMEX Runge-Kutta scheme for two dimensional PDEs in finance
J. G. López-Salas, M. Suárez-Taboada, M. J. Castro +2
In this article we present a novel and general methodology for building second order finite volume implicit-explicit (IMEX) numerical schemes for solving two dimensional financial…
Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance
J. G. López-Salas, M. Suárez-Taboada, M. J. Castro +2
We present a novel and general methodology for building second-order finite volume implicit-explicit Runge-Kutta numerical schemes for solving two-dimensional financial parabolic P…
IMEX-RK finite volume methods for nonlinear 1d parabolic PDEs. Application to option pricing
J. G. López-Salas, M. Suárez-Taboada, M. J. Castro +2
The goal of this paper is to develop 2nd order Implicit-Explicit Runge-Kutta (IMEX-RK) finite volume (FV) schemes for solving 1d parabolic PDEs for option pricing, with possible no…
High-order In-cell Discontinuous Reconstruction path-conservative methods for nonconservative hyperbolic systems -- DR.MOOD generalization
Ernesto Pimentel-GarcÃa, Manuel J. Castro, Christophe Chalons +1
In this work we develop a new framework to deal numerically with discontinuous solutions in nonconservative hyperbolic systems. First an extension of the MOOD methodology to noncon…