3 papers
math.NA2024
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-Díaz +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…
math.NA2024
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…
math.NA2024
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…