期刊论文

Wang, Wansheng

英文

SIAM JOURNAL ON NUMERICAL ANALYSIS

0036-1429

2019

57

3

1289-1317

10.1137/18M1194328

\ast Received by the editors June 14, 2018; accepted for publication (in revised form) March 21, 2019; published electronically June 6, 2019. http://www.siam.org/journals/sinum/57-3/M119432.html Funding: This work was supported by National Natural Science Foundation of China, grants 11771060 and 11371074. \dagger Department of Mathematics, Shanghai Normal University, Shanghai 200234, China, and School of Mathematics and Statistics, Changsha University of Science \& Technology, 410076 Hunan, China (w.s.wang@163.com). \ddagger School of Mathematics and Computational Science, Hunan Key Laboratory for Computation and Simulation in Science and Engineering, Xiangtan University, 411105 Hunan, China (1020821222@qq.com). \S School of Mathematics and Statistics, Changsha University of Science \& Technology, 410076 Hunan, China (1037560603@qq.com).

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In this paper the implicit-explicit (IMEX) two-step backward differentiation formula (BDF2) method with variable step-size, due to the nonsmoothness of the initial data, is developed for solving parabolic partial integro-differential equations (PIDEs), which describe the jump-diffusion option pricing model in finance. It is shown that the variable step-size IMEX BDF2 method is stable for abstract PIDEs under suitable time step restrictions. Based on the time regularity analysis of abstract PIDEs, the consistency error and the global error bounds for the variable step-size IMEX BDF2 method are ...