We consider high-order compact (HOC) schemes for quasilinear parabolic partial differential equations to discretise the Black-Scholes PDE for the numerical pricing of European and American options. We show that for the heat equation with smooth initial conditions, the HOC schemes attain clear fourth
✦ LIBER ✦
Numerical discretization of energy-transport model for semiconductors using high-order compact schemes
✍ Scribed by M. Fournié
- Book ID
- 104349373
- Publisher
- Elsevier Science
- Year
- 2002
- Tongue
- English
- Weight
- 426 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0893-9659
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✦ Synopsis
This paper deals with numerical discretization of energy-transport model for nondegenerate semiconductors with a parabolic structure. The scheme is based on high-order computations using compact stencil. Numerical simulations of a ballistic diode in 1D are performed for different energy relaxation time and are compared with the results obtained by a drift-diffusion model.
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