Comp_Fin_HW6

Comp_Fin_HW6 - Jaime Frade Computational Finance: Dr....

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Unformatted text preview: Jaime Frade Computational Finance: Dr. Kopriva Homework #6 1. Show that once can approximate the intial value problem for y = F ( t, y ) by Y n +1 = Y n + t F ( t n +1 / 2 , Y n +1 / 2 ) (1) where t n +1 / 2 = t n + t 2 . NOTE: For Midpoint Rule over [ a, b ] Z b a f ( x ) dx = ( b- a ) f a + b 2 (2) Integrating y = F ( t, y ) over [ t n +1 , t n ], by using the midpoint quadrature will obtain: Z t n +1 t n y dt = Z t n +1 t n F ( t, y ) dt = ( t n +1- t n ) F ( t n +1 / 2 , y ( t n +1 / 2 )) + n From (2) = t F ( t n +1 / 2 , y ( t n +1 / 2 )) + n From t = t n +1- t n (3) where n is the local truncation error. Define t = ( t n +1- t n ) and t n +1 / 2 = t n + t 2 From (3), obtain the following: y ( t n +1 )- y ( t n ) = t F ( t n +1 / 2 , y ( t n +1 / 2 )) + n (4) Define y ( t n ) = y n Y n , y ( t n +1 ) = y n +1 Y n +1 , and y ( t n +1 / 2 ) = y n +1 / 2 Y n +1 / 2 . From above, can redefine (4) to obtain the following: Y n +1 = Y n + t F ( t n +1 / 2 , Y n +1 / 2 ) (5) Show that this approximation is second order. I will use a-posterior approach using the Talyor Series. Let t * = t 2 . y n +1 = y n +1 / 2 + t * y n +1 / 2 + ( t * ) 2 y 00 n +1 / 2 2! + ( t * ) 3 y 000 ( ) 3! (6) y n = y n +1 / 2- t * y n +1 / 2 + ( t * ) 2 y 00 n +1 / 2 2!- ( t * ) 3 y 000 ( ) 3! (7) Taking the difference between (6) and (7), will obtain: y n +1- y n = t y n +1 / 2 + ( t * ) 3 y 000 ( ) 3 = t F ( t n +1 / 2 , Y n +1 / 2 ) + ( t * ) 3 y 000 ( ) 3 | {z } = LTE (8) Comparing (8) and (4), obtain the following for the local truncation error(LTE): n = O (( t ) 3 ) (9) The approximation when using (5) is second order from above (9) 1 2. To solve (5), one needs the value for Y n +1 / 2 . This can be approximated using Eulers Method to give the following scheme. Y * n +1 / 2 = Y n + t 2 F ( t n , Y n ) (10) Y n +1 = Y n + t F ( t n +1 / 2 , Y * n +1 / 2 ) (11) Show that this method is second order. Let t * = t 2 . From (10), can approximate with a local trunction error using the talyor series as: y * n +1 / 2 = y n + ( t * ) y n + * (12) I will use a-posterior approach using the Talyor Series for y n +1 / 2 Y n +1 / 2 . y n +1 / 2 = y n + t * y n | {z } +( t * ) 2 y 00 n 2! + O (( t * ) 3 ) = Y * n +1 / 2 + * + ( t * ) 2 y 00 n 2! + O (( t * ) 3 ) From (12) (13) Using Talyor Series on to expand F ( t n +1 / 2 , Y * n +1 / 2 ), from (11). F ( t n +1 / 2 , Y * n +1 / 2 ) = F ( t n +1 / 2 , Y n +1 / 2 ) + ( Y * n +1 / 2- Y n +1 / 2 | {z } =(13) ) F Y + O (( Y * n +1 / 2- Y n +1 / 2 ) 2 | {z } ( t 2 ) 2 ) = F ( t n +1 / 2 , Y n +1 / 2 ) + Y * n +1 / 2- Y * n +1 / 2- ( t * ) 2 Y 00 n 2!...
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This note was uploaded on 12/14/2011 for the course MAP 5611 taught by Professor Staff during the Fall '10 term at FSU.

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Comp_Fin_HW6 - Jaime Frade Computational Finance: Dr....

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