Numerical solution of Kolmogorov equation using compact

  • Sara Pooyandeh Payame Noor University
  • Marzieh Karimi Radpoor Islamic Azad University
DOI: https://doi.org/10.53555/m.v2i7.1590
Keywords: Partial differential equation, Compact method, Cubic C1 -spline collocation method,, Kolmogorov equation.

Abstract

In this study, we solve the Kolmogorov equation by a compact finite difference method.
We apply a compact finite difference approximation for discretizing spatial derivatives.
Then, using cubic C
1
-spline collocation technique, we solve the time integration of the
resulting system of ordinary differential equations. This joined method has fourth-order
accuracy in both space and time variables, that is this method is of order O(h
4
, k4
). The
numerical results confirm the validity of this method

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Author Biographies

Sara Pooyandeh, Payame Noor University

Department of Mathematics, Payame Noor University, PO BOX 19395-3697 Tehran, Iran.

Marzieh Karimi Radpoor, Islamic Azad University

Young Researchers & Elites Club, Hamedan Branch, Islamic Azad University, Hamedan, Iran

Published
2016-07-31
How to Cite
Pooyandeh, S., & Radpoor, M. K. (2016). Numerical solution of Kolmogorov equation using compact. IJRDO -JOURNAL OF MATHEMATICS, 2(7), 01-07. https://doi.org/10.53555/m.v2i7.1590
Issue
Vol. 2 No. 7 (2016): IJRDO-Journal of Mathematics
Section
Articles

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