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Stability and Time-Step Constraints of Implicit-Explicit Runge-Kutta Methods for the Linearized Korteweg-de Vries Equation
This paper provides a study on the stability and time-step constraints of solving the linearized Korteweg-de Vries (KdV) equation, using...
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Comparison of implicit–explicit and Newton linearized variable two-step BDF methods for semilinear parabolic equations
It is interesting to compare implicit–explicit (IMEX) and Newton linearized (NL) methods since they are two classes of typical time discretization...
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Implicit-Explicit Bicompact Schemes for Hyperbolic Systems of Conservation Laws
AbstractHigh-order bicompact schemes for hyperbolic systems of conservation laws are considered. We aim to significantly speed up these schemes....
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Strong stability preserving implicit and implicit–explicit second derivative general linear methods with RK stability
In this work, we use a formulation based on forward Euler and backward derivative condition to obtain A -stable SSP implicit SGLMs up to order five...
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Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
The operator splitting method has been effectively applied to jump-diffusion models, and it is also easy to implement because the differential and...
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Stability and Error Estimates of Local Discontinuous Galerkin Methods with Implicit–Explicit Backward Difference Formulas up to Fifth Order for Convection–Diffusion Equation
In this paper, the stability analysis and optimal error estimates are presented for a kind of fully discrete schemes for solving one-dimensional...
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The High-Order Variable-Coefficient Explicit-Implicit-Null Method for Diffusion and Dispersion Equations
For the high-order diffusion and dispersion equations, the general practice of the explicit-implicit-null (EIN) method is to add and subtract an...
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Implicit-explicit Runge–Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
In this paper, we have devised a novel class of implicit-explicit Runge–Kutta methods for the valuation of financial derivatives under...
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IMEX-RK Finite Volume Methods for Nonlinear 1d Parabolic PDEs. Application to Option Pricing
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...
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On the Stability of IMEX Upwind gSBP Schemes for 1D Linear Advection-Diffusion Equations
A fully discrete energy stability analysis is carried out for linear advection-diffusion problems discretized by generalized upwind...
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Second Order Finite Volume IMEX Runge-Kutta Schemes for Two Dimensional Parabolic PDEs in Finance
We present a novel and general methodology for building second order finite volume implicit-explicit Runge-Kutta numerical schemes for solving two...
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On the Construction of Conservative Semi-Lagrangian IMEX Advection Schemes for Multiscale Time Dependent PDEs
This article is devoted to the construction of a new class of semi-Lagrangian (SL) schemes with implicit-explicit (IMEX) Runge-Kutta (RK) time...
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A Well-Balanced Semi-implicit IMEX Finite Volume Scheme for Ideal Magnetohydrodynamics at All Mach Numbers
We propose a second-order accurate semi-implicit and well-balanced finite volume scheme for the equations of ideal magnetohydrodynamics including...
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Stability analysis and error estimates of implicit–explicit Runge–Kutta local discontinuous Galerkin methods for nonlinear fractional convection–diffusion problems
In this paper, we shall present three fully discrete local discontinuous Galerkin (LDG) methods, coupled with implicit–explicit (IMEX) time...
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Strong Stability Preserving IMEX Methods for Partitioned Systems of Differential Equations
We investigate strong stability preserving (SSP) implicit-explicit (IMEX) methods for partitioned systems of differential equations with stiff and...
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Model Reduction and Implicit–Explicit Runge–Kutta Schemes for Nonlinear Stiff Initial-Value Problems
The main goal of this paper is the use of the implicit–explicit Runge–Kutta method for finding the numerical approximate solutions for chemical...
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Parallel Implicit-Explicit General Linear Methods
High-order discretizations of partial differential equations (PDEs) necessitate high-order time integration schemes capable of handling both stiff...
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A Low Mach Number IMEX Flux Splitting for the Level Set Ghost Fluid Method
Considering droplet phenomena at low Mach numbers, large differences in the magnitude of the occurring characteristic waves are presented. As...
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High Order IMEX Stochastic Galerkin Schemes for Linear Transport Equation with Random Inputs and Diffusive Scalings
In this paper, we consider the high order method for solving the linear transport equations under diffusive scaling and with random inputs. To tackle...
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Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
The aim of this paper is to develop an implicit–explicit (IMEX) scheme for solving the 2-dimensional (2-D) partial integro-differential equations...