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math.NA2024
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…
math.NA2024
High-order In-cell Discontinuous Reconstruction path-conservative methods for nonconservative hyperbolic systems -- DR.MOOD generalization
Ernesto Pimentel-García, 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…