We propose a Legendre–Laguerre spectral approximation to price the European and double barrier options in the time-fractional framework. By choosing an appropriate basis function, the spectral discretization is used for the approximation of the spatial derivatives of the time-fractional Black–Scholes equation. For the time discretization, we consider the popular $L1$ finite difference approximation, which converges with order $\mathcal {O}((\Delta \tau )^{2-\alpha })$ for functions which are twice continuously differentiable. However, when using the $L1$ scheme for problems with nonsmooth initial data, only the first-order accuracy in time is achieved. This low-order accuracy is also observed when solving the time-fractional Black–Scholes European and barrier option pricing problems for which the payoffs are all nonsmooth. To increase the temporal convergence rate, we therefore consider a Richardson extrapolation method, which when combined with the spectral approximation in space, exhibits higher order convergence such that high accuracies over the whole discretization grid are obtained. Compared with the traditional finite difference scheme, numerical examples clearly indicate that the spectral approximation converges exponentially over a small number of grid points. Also, as demonstrated, such high accuracies can be achieved in much fewer time steps using the extrapolation approach.

Closed-form explicit formulas for implied Black–Scholes volatilities provide a rapid evaluation method for European options under the popular stochastic alpha–beta–rho (SABR) model. However, it is well known that computed prices using the implied volatilities are only accurate for short-term maturities, but, for longer maturities, a more accurate method is required. This work addresses this accuracy problem for long-term maturities by numerically solving the no-arbitrage partial differential equation with an absorbing boundary condition at zero. Localized radial basis functions in a finite-difference mode are employed for the development of a computational method for solving the resulting two-dimensional pricing equation. The proposed method can use either multiquadrics or inverse multiquadrics, which are shown to have comparable performances. Numerical results illustrate the accuracy of the proposed method and, more importantly, that the computed risk-neutral probability densities are nonnegative. These two key properties indicate that the method of solution using localized meshless methods is a viable and efficient means for price computations under SABR dynamics.

The cell transmission model (CTM) is a macroscopic model that describes the dynamics of traffic flow over time and space. The effectiveness and accuracy of the CTM are discussed in this paper. First, the CTM formula is recognized as a finite-volume discretization of the kinematic traffic model with a trapezoidal flux function. To validate the constructed scheme, the simulation of shock waves and rarefaction waves as two important elements of traffic dynamics was performed. Adaptation of the CTM for intersecting and splitting cells is discussed. Its implementation on the road segment with traffic influx produces results that are consistent with the analytical solution of the kinematic model. Furthermore, a simulation on a simple road network shows the back and forth propagation of shock waves and rarefaction waves. Our numerical result agrees well with the existing result of Godunov’s finite-volume scheme. In addition, from this accurately proven scheme, we can extract information for the average travel time on a certain route, which is the most important information a traveller needs. It appears from simulations of different scenarios that, depending on the circumstances, a longer route may have a shorter travel time. Finally, there is a discussion on the possible application for traffic management in Indonesia during the Eid al-Fitr exodus.

DuFort–Frankel averaging is a tactic to stabilize Richardson’s unstable three-level leapfrog timestepping scheme. By including the next time level in the right-hand-side evaluation, it is implicit, but it can be rearranged to give an explicit updating formula, thus apparently giving the best of both worlds. Textbooks prove unconditional stability for the heat equation, and extensive use on a variety of advection–diffusion equations has produced many useful results. Nonetheless, for some problems the scheme can fail in an interesting and surprising way, leading to instability at very long times. An analysis for a simple problem involving a pair of evolution equations that describe the spread of a rabies epidemic gives insight into how this occurs. An even simpler modified diffusion equation suffers from the same instability. Finally, the rabies problem is revisited and a stable method is found for a restricted range of parameter values, although no prescriptive recipe is known which selects this particular choice.

We present an efficient, accurate computational method for a coordinate-free model of flame front propagation of Frankel and Sivashinsky. This model allows for overturned flames fronts, in contrast to weakly nonlinear models such as the Kuramoto–Sivashinsky equation. The numerical procedure adapts the method of Hou, Lowengrub and Shelley, derived for vortex sheets, to this model. The result is a nonstiff, highly accurate solver which can handle fully nonlinear, overturned interfaces, with similar computational expense to methods for weakly nonlinear models. We apply this solver both to simulate overturned flame fronts and to compare the accuracy of Kuramoto–Sivashinsky and coordinate-free models in the appropriate limit.

A Doyle–Fuller–Newman (DFN) model for the charge and discharge of nano-structured lithium iron phosphate (LFP) cathodes is formulated on the basis that lithium transport within the nanoscale LFP electrode particles is much faster than cell discharge, and is therefore not rate limiting. We present some numerical solutions to the model and show that for relevant parameter values, and a variety of C-rates, it is possible for sharp discharge fronts to form and intrude into the electrode from its outer edge(s). These discharge fronts separate regions of fully utilised LFP electrode particles from those that are not. Motivated by this observation an asymptotic solution to the model is sought. The results of the asymptotic analysis of the DFN model lead to a reduced order model, which we term the reaction front model (or RFM). Favourable agreement is shown between solutions to the RFM and the full DFN model in appropriate parameter regimes. The RFM is significantly cheaper to solve than the DFN model, and therefore has the potential to be used in scenarios where computational costs are prohibitive, e.g. in optimisation and parameter estimation problems or in engineering control systems.

We propose two linearly implicit energy-preserving schemes for the complex modified Korteweg–de Vries equation, based on the invariant energy quadratization method. First, a new variable is introduced and a new Hamiltonian system is constructed for this equation. Then the Fourier pseudospectral method is used for the space discretization and the Crank–Nicolson leap-frog schemes for the time discretization. The proposed schemes are linearly implicit, which is only needed to solve a linear system at each time step. The fully discrete schemes can be shown to conserve both mass and energy in the discrete setting. Some numerical examples are also presented to validate the effectiveness of the proposed schemes.

The discontinuous Galerkin (DG) method provides a robust and flexible technique for the time integration of fractional diffusion problems. However, a practical implementation uses coefficients defined by integrals that are not easily evaluated. We describe specialized quadrature techniques that efficiently maintain the overall accuracy of the DG method. In addition, we observe in numerical experiments that known superconvergence properties of DG time stepping for classical diffusion problems carry over in a modified form to the fractional-order setting.

The Wadge hierarchy was originally defined and studied only in the Baire space (and some other zero-dimensional spaces). Here we extend the Wadge hierarchy of Borel sets to arbitrary topological spaces by providing a set-theoretic definition of all its levels. We show that our extension behaves well in second countable spaces and especially in quasi-Polish spaces. In particular, all levels are preserved by continuous open surjections between second countable spaces which implies e.g., several Hausdorff–Kuratowski (HK)-type theorems in quasi-Polish spaces. In fact, many results hold not only for the Wadge hierarchy of sets but also for its extension to Borel functions from a space to a countable better quasiorder Q.

We propose a multi-level method to increase the accuracy of machine learning algorithms for approximating observables in scientific computing, particularly those that arise in systems modelled by differential equations. The algorithm relies on judiciously combining a large number of computationally cheap training data on coarse resolutions with a few expensive training samples on fine grid resolutions. Theoretical arguments for lowering the generalisation error, based on reducing the variance of the underlying maps, are provided and numerical evidence, indicating significant gains over underlying single-level machine learning algorithms, are presented. Moreover, we also apply the multi-level algorithm in the context of forward uncertainty quantification and observe a considerable speedup over competing algorithms.

We present a model for a class of non-local conservation laws arising in traffic flow modelling at road junctions. Instead of a single velocity function for the whole road, we consider two different road segments, which may differ for their speed law and number of lanes (hence their maximal vehicle density). We use an upwind type numerical scheme to construct a sequence of approximate solutions, and we provide uniform L∞ and total variation estimates. In particular, the solutions of the proposed model stay positive and below the maximum density of each road segment. Using a Lax–Wendroff type argument and the doubling of variables technique, we prove the well-posedness of the proposed model. Finally, some numerical simulations are provided and compared with the corresponding (discontinuous) local model.

The numerical entropy production (NEP) for shallow water equations (SWE) is discussed and implemented as a smoothness indicator. We consider SWE in three different dimensions, namely, one-dimensional, one-and-a-half-dimensional, and two-dimensional SWE. An existing numerical entropy scheme is reviewed and an alternative scheme is provided. We prove the properties of these two numerical entropy schemes relating to the entropy steady state and consistency with the entropy equality on smooth regions. Simulation results show that both schemes produce NEP with the same behaviour for detecting discontinuities of solutions and perform similarly as smoothness indicators. An implementation of the NEP for an adaptive numerical method is also demonstrated.

A new linear and conservative finite difference scheme which preserves discrete mass and energy is developed for the two-dimensional Gross–Pitaevskii equation with angular momentum rotation. In addition to the energy estimate method and mathematical induction, we use the lifting technique as well as some well-known inequalities to establish the optimal $H^{1}$-error estimate for the proposed scheme with no restrictions on the grid ratio. Unlike the existing numerical solutions which are of second-order accuracy at the most, the convergence rate of the numerical solution is proved to be of order $O(h^{4}+\unicode[STIX]{x1D70F}^{2})$ with time step $\unicode[STIX]{x1D70F}$ and mesh size $h$. Numerical experiments have been carried out to show the efficiency and accuracy of our new method.

We present a Rayleigh–Ritz method for the approximation of fluid flow in a curved duct, including the secondary cross-flow, which is well known to develop for nonzero Dean numbers. Having a straightforward method to estimate the cross-flow for ducts with a variety of cross-sectional shapes is important for many applications. One particular example is in microfluidics where curved ducts with low aspect ratio are common, and there is an increasing interest in nonrectangular duct shapes for the purpose of size-based cell separation. We describe functionals which are minimized by the axial flow velocity and cross-flow stream function which solve an expansion of the Navier–Stokes model of the flow. A Rayleigh–Ritz method is then obtained by computing the coefficients of an appropriate polynomial basis, taking into account the duct shape, such that the corresponding functionals are stationary. Whilst the method itself is quite general, we describe an implementation for a particular family of duct shapes in which the top and bottom walls are described by a polynomial with respect to the lateral coordinate. Solutions for a rectangular duct and two nonstandard duct shapes are examined in detail. A comparison with solutions obtained using a finite-element method demonstrates the rate of convergence with respect to the size of the basis. An implementation for circular cross-sections is also described, and results are found to be consistent with previous studies.

The Wasserstein gradient flow structure of the partial differential equation system governing multiphase flows in porous media was recently highlighted in Cancès et al. [Anal. PDE10(8), 1845–1876]. The model can thus be approximated by means of the minimising movement (or JKO after Jordan, Kinderlehrer and Otto [SIAM J. Math. Anal.29(1), 1–17]) scheme that we solve thanks to the ALG2-JKO scheme proposed in Benamou et al. [ESAIM Proc. Surv.57, 1–17]. The numerical results are compared to a classical upstream mobility finite volume scheme, for which strong stability properties can be established.

We consider a class of optimal control problems for measure-valued nonlinear transport equations describing traffic flow problems on networks. The objective is to minimise/maximise macroscopic quantities, such as traffic volume or average speed, controlling few agents, e.g. smart traffic lights and automated cars. The measure theoretic approach allows to study in a same setting local and non-local drivers interactions and to consider the control variables as additional measures interacting with the drivers distribution. We also propose a gradient descent adjoint-based optimisation method, obtained by deriving first-order optimality conditions for the control problem, and we provide some numerical experiments in the case of smart traffic lights for a 2–1 junction.

The displacement λ-convexity of a non-standard entropy with respect to a non-local transportation metric in finite state spaces is shown using a gradient flow approach. The constant λ is computed explicitly in terms of a priori estimates of the solution to a finite-difference approximation of a non-linear Fokker–Planck equation. The key idea is to employ a new mean function, which defines the Onsager operator in the gradient flow formulation.

A new Semi-Lagrangian scheme is proposed to discretize the surface convection-diffusion equation. The other involved equations including the the level-set convection equation, the re-initialization equation and the extension equation are also solved by S-L schemes. The S-L method removes both the CFL condition and the stiffness caused by the surface Laplacian, allowing larger time step than the Eulerian method. The method is extended to the block-structured adaptive mesh. Numerical examples are given to demonstrate the efficiency of the S-L method.

The nonlinear transverse vibrations of ordered and disordered two-dimensional (2D) two-span composite laminated plates are studied. Based on the von Karman's large deformation theory, the equations of motion of each-span composite laminated plate are formulated using Hamilton's principle, and the partial differential equations are discretized into nonlinear ordinary ones through the Galerkin's method. The primary resonance and 1/3 sub-harmonic resonance are investigated by using the method of multiple scales. The amplitude-frequency relations of the steady-state responses and their stability analyses in each kind of resonance are carried out. The effects of the disorder ratio and ply angle on the two different resonances are analyzed. From the numerical results, it can be concluded that disorder in the length of the two-span 2D composite laminated plate will cause the nonlinear vibration localization phenomenon, and with the increase of the disorder ratio, the vibration localization phenomenon will become more obvious. Moreover, the amplitude-frequency curves for both primary resonance and 1/3 sub-harmonic resonance obtained by the present analytical method are compared with those by the numerical integration, and satisfactory precision can be obtained for engineering applications and the results certify the correctness of the present approximately analytical solutions.

In this paper, a new formulation is proposed to evaluate the origin intensity factors (OIFs) in the singular boundary method (SBM) for solving 3D potential problems with Dirichlet boundary condition. The SBM is a strong-form boundary discretization collocation technique and is mathematically simple, easy-to-program, and free of mesh. The crucial step in the implementation of the SBM is to determine the OIFs which isolate the singularities of the fundamental solutions. Traditionally, the inverse interpolation technique (IIT) is adopted to calculate the OIFs on Dirichlet boundary, which is time consuming for large-scale simulation. In recent years, the new methodology has been developed to efficiently calculate the OIFs on Neumann boundary, but the Dirichlet problem remains an open issue. This study employs the subtracting and adding-back technique based on the integration of the fundamental solution over the whole boundary to develop a new formulation of the OIFs on 3D Dirichlet boundary. Several problems with varied domain shapes and boundary conditions are carried out to validate the effectiveness and feasibility of the proposed scheme in comparison with the SBM based on inverse interpolation technique, the method of fundamental solutions, and the boundary element method.