arXiv subjects

Weizhong Dai

Publications and source records attributed to Weizhong Dai.

13 recordsLinked to original sources

arXiv2024

Thermal oscillations and resonance in electron-phonon interaction process

Thermal resonance, in which the temperature amplitude attains a maximum value (peak) in response to an external exciting frequency source, is a phenomenon pertinent to the presence of underdamped thermal oscillations and explicit finite-speed for the thermal wave propagation. The present work investigates the occurrence condition for thermal resonance phenomenon during the electron-phonon interaction process in metals based on the hyperbolic two-temperature model. First, a sufficient condition for underdamped electron and lattice temperature oscillations is discussed by deriving a critical frequency (a material characteristic). It is shown that the critical frequency of thermal waves near room temperature, during electron-phonon interactions, may be on the order of terahertz ($10-20$ THz for Cu and Au, i.e., lying within the terahertz gap). It is found that whenever the natural frequency of metal temperature exceeds this frequency threshold, the temperature oscillations are of underdamped type. However, this condition is not necessary, since there is a small frequency domain, below this threshold, in which the underdamped thermal wave solution is available but not effective. Otherwise, the critical damping and the overdamping conditions of the temperature waves are determined numerically for a sample of pure metals. The thermal resonance conditions in both electron and lattice temperatures are investigated. The occurrence of resonance in both electron and lattice temperature is conditional on violating two distinct critical values of frequencies. When the natural frequency of the system becomes larger than these two critical values, an applied frequency equal to such a natural frequency can drive both electron and lattice temperatures to resonate together with different amplitudes and behaviors. However, the electron temperature resonates earlier than the lattice temperature.

cond-mat.mtrl-sci↗

arXiv2023

Enhancing accuracy for solving American CEV model with high-order compact scheme and adaptive time stepping

In this research work, we propose a high-order time adapted scheme for pricing a coupled system of fixed-free boundary constant elasticity of variance (CEV) model on both equidistant and locally refined space-grid. The performance of our method is substantially enhanced to improve irregularities in the model which are both inherent and induced. Furthermore, the system of coupled PDEs is strongly nonlinear and involves several time-dependent coefficients that include the first-order derivative of the early exercise boundary. These coefficients are approximated from a fourth-order analytical approximation which is derived using a regularized square-root function. The semi-discrete equation for the option value and delta sensitivity is obtained from a non-uniform fourth-order compact finite difference scheme. Fifth-order 5(4) Dormand-Prince time integration method is used to solve the coupled system of discrete equations. Enhancing the performance of our proposed method with local mesh refinement and adaptive strategies enables us to obtain highly accurate solution with very coarse space grids, hence reducing computational runtime substantially. We further verify the performance of our methodology as compared with some of the well-known and better-performing existing methods.

q-fin.CP↗

arXiv2022

Deep learning and American options via free boundary framework

We propose a deep learning method for solving the American options model with a free boundary feature. To extract the free boundary known as the early exercise boundary from our proposed method, we introduce the Landau transformation. For efficient implementation of our proposed method, we further construct a dual solution framework consisting of a novel auxiliary function and free boundary equations. The auxiliary function is formulated to include the feed forward deep neural network (DNN) output and further mimic the far boundary behaviour, smooth pasting condition, and remaining boundary conditions due to the second-order space derivative and first-order time derivative. Because the early exercise boundary and its derivative are not a priori known, the boundary values mimicked by the auxiliary function are in approximate form. Concurrently, we then establish equations that approximate the early exercise boundary and its derivative directly from the DNN output based on some linear relationships at the left boundary. Furthermore, the option Greeks are obtained from the derivatives of this auxiliary function. We test our implementation with several examples and compare them with the existing numerical methods. All indicators show that our proposed deep learning method presents an efficient and alternative way of pricing options with early exercise features.

q-fin.CP↗

arXiv2022

Sixth-Order Compact Differencing with Staggered Boundary Schemes and 3(2) Bogacki-Shampine Pairs for Pricing Free-Boundary Options

We propose a stable sixth-order compact finite difference scheme with a dynamic fifth-order staggered boundary scheme and 3(2) R-K Bogacki and Shampine adaptive time stepping for pricing American style options. To locate, fix and compute the free-boundary simultaneously with option and delta sensitivity, we introduce a Landau transformation. Furthermore, we remove the convective term in the pricing model which could further introduce errors. Hence, an efficient sixth-order compact scheme can easily be implemented. The main challenge in coupling the sixth order compact scheme in discrete form is to efficiently account for the near-boundary scheme. In this work, we introduce novel fifth- and sixth-order Dirichlet near-boundary schemes suitable for solving our model. The optimal exercise boundary and other boundary values are approximated using a high-order analytical approximation obtained from a novel fifth-order staggered boundary scheme. Furthermore, we investigate the smoothness of the first and second derivatives of the optimal exercise boundary which is obtained from this high-order analytical approximation. Coupled with the 3(2) RK-Bogacki and Shampine time integration method, the interior values are then approximated using the sixth order compact operator. The expected convergence rate is obtained, and our present numerical scheme is very fast and gives highly accurate approximations with very coarse grids.

q-fin.CP↗

arXiv2022

On the Efficiency of 5(4) RK-Embedded Pairs with High Order Compact Scheme and Robin Boundary Condition for Options Valuation

When solving the American options with or without dividends, numerical methods often obtain lower convergence rates if further treatment is not implemented even using high-order schemes. In this article, we present a fast and explicit fourth-order compact scheme for solving the free boundary options. In particular, the early exercise features with the asset option and option sensitivity are computed based on a coupled of nonlinear PDEs with fixed boundaries for which a high order analytical approximation is obtained. Furthermore, we implement a new treatment at the left boundary by introducing a third-order Robin boundary condition. Rather than computing the optimal exercise boundary from the analytical approximation, we simply obtain it from the asset option based on the linear relationship at the left boundary. As such, a high order convergence rate can be achieved. We validate by examples that the improvement at the left boundary yields a fourth-order convergence rate without further implementation of mesh refinement, Rannacher time-stepping, and/or smoothing of the initial condition. Furthermore, we extensively compare, the performance of our present method with several 5(4) Runge-Kutta pairs and observe that Dormand and Prince and Bogacki and Shampine 5(4) pairs are faster and provide more accurate numerical solutions. Based on numerical results and comparison with other existing methods, we can validate that the present method is very fast and provides more accurate solutions with very coarse grids.

q-fin.CP↗

arXiv2022

Explicit RKF-Compact Scheme for Pricing Regime Switching American Options with Varying Time Step

In this research work, an explicit Runge-Kutta-Fehlberg (RKF) time integration with a fourth-order compact finite difference scheme in space and a high order analytical approximation of the optimal exercise boundary is employed for solving the regime-switching pricing model. In detail, we recast the free boundary problem into a system of nonlinear partial differential equations with a multi-fixed domain. We then introduce a transformation based on the square root function with a Lipschitz character from which a high order analytical approximation is obtained to compute the derivative of the optimal exercise boundary in each regime. We further compute the boundary values, asset option, and the option Greeks for each regime using fourth-order spatial discretization and adaptive time integration. In particular, the coupled assets options and option Greeks are estimated using Hermite interpolation with Newton basis. Finally, a numerical experiment is carried out with two- and four-regimes examples and results are compared with the existing methods. The results obtained from the numerical experiment show that the present method provides better performance in terms of computational speed and more accurate solutions with a large step size.

q-fin.CP↗

arXiv2021

Multigrid Iterative Algorithm based on Compact Finite Difference Schemes and Hermite interpolation for Solving Regime Switching American Options

We present a multigrid iterative algorithm for solving a system of coupled free boundary problems for pricing American put options with regime-switching. The algorithm is based on our recently developed compact finite difference scheme coupled with Hermite interpolation for solving the coupled partial differential equations consisting of the asset option and the delta, gamma, and speed sensitivities. In the algorithm, we first use the Gauss-Seidel method as a smoother and then implement a multigrid strategy based on modified cycle (M-cycle) for solving our discretized equations. Hermite interpolation with Newton interpolatory divided difference (as the basis) is used in estimating the coupled asset, delta, gamma, and speed options in the set of equations. A numerical experiment is performed with the two- and four- regime examples and compared with other existing methods to validate the optimal strategy. Results show that this algorithm provides a fast and efficient tool for pricing American put options with regime-switching.

q-fin.CP↗

arXiv2021

An Adaptive and Explicit Fourth Order Runge-Kutta-Fehlberg Method Coupled with Compact Finite Differencing for Pricing American Put Options

We propose an adaptive and explicit fourth-order Runge-Kutta-Fehlberg method coupled with a fourth-order compact scheme to solve the American put options problem. First, the free boundary problem is converted into a system of partial differential equations with a fixed domain by using logarithm transformation and taking additional derivatives. With the addition of an intermediate function with a fixed free boundary, a quadratic formula is derived to compute the velocity of the optimal exercise boundary analytically. Furthermore, we implement an extrapolation method to ensure that at least, a third-order accuracy in space is maintained at the boundary point when computing the optimal exercise boundary from its derivative. As such, it enables us to employ fourth-order spatial and temporal discretization with Dirichlet boundary conditions for obtaining the numerical solution of the asset option, option Greeks, and the optimal exercise boundary. The advantage of the Runge-Kutta-Fehlberg method is based on error control and the adjustment of the time step to maintain the error at a certain threshold. By comparing with some existing methods in the numerical experiment, it shows that the present method has a better performance in terms of computational speed and provides a more accurate solution.

q-fin.CP↗

arXiv2020

Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model

We consider a system of coupled free boundary problems for pricing American put options with regime-switching. To solve this system, we first employ the logarithmic transformation to map the free boundary for each regime to multi-fixed intervals and then eliminate the first-order derivative in the transformed model by taking derivatives to obtain a system of partial differential equations which we call the asset-delta-gamma-speed equations. As such, the fourth-order compact finite difference scheme can be used for solving this system. The influence of other asset, delta, gamma, and speed options in the present regime is estimated based on Hermite interpolations. Finally, the numerical method is tested with several examples. Our results show that the scheme provides an accurate solution that is fast in computation as compared with other existing numerical methods.

q-fin.CP↗

arXiv2020

Adjoint Difference Equation for a Nikiforov-Uvarov-Suslov difference equation of hypergeometric type on Non-uniform Lattices

In this article, we establish the adjoint equation for Nikiforov-Uvarov-Suslov difference equation of hypergeometric type on non-uniform lattices, and prove it to be a difference equation of hypergeometric type on non-uniform lattices as well. The particular solutions of the adjoint equation are then obtained. As an appliction of these particular solutions, we use them to obtain the particular solutions for the original difference equation of hypergeometric type on non-uniform lattices. Finally, we prove another kind of fundamental theorems for Nikiforov-Uvarov-Suslov difference equation of hypergeometric type, which are essentially new results, its expression is different from Suslov's Theorem.

math.CA↗

arXiv2015

Sagnac interferometry with coherent vortex superposition states in exciton-polariton condensates

We investigate prospects of using counter-rotating vortex superposition states in non-equilibrium exciton-polariton Bose-Einstein condensates for the purposes of Sagnac interferometry. We first investigate the stability of vortex-antivortex superposition states, and show that they survive at steady-state in a variety of configurations. Counter-rotating vortex superpositions are of potential interest to gyroscope and seismometer applications for detecting rotations. Methods of improving the sensitivity are investigated by targeting high momentum states via metastable condensation, and the application of periodic lattices. The sensitivity of the polariton gyroscope is compared to its optical and atomic counterparts. Due to the large interferometer areas in optical systems and small de Broglie wavelengths for atomic BECs, the sensitivity per detected photon is found to be considerably less for the polariton gyroscope than with competing methods. However, polariton gyroscopes have an advantage over atomic BECs in a high signal-to-noise ratio, and have other practical advantages such as room-temperature operation and robust design. We estimate that the final sensitivities including signal-to-noise aspects are competitive with existing methods.

quant-ph↗

arXiv2013

Optical Soliton Propagation in a Free-Standing Nonlinear Graphene Monolayer with Defects

Recently, optical soliton propagation in an intrinsic nonlinear graphene monolayer configuration has been discovered. However, optical soliton behavior in a free-standing graphene monolayer with defects has not yet been studied. The objective of this article is to employ the generalized finite- difference time-domain (G-FDTD) method to efficiently simulate bright optical solitons, illustrating propagation of the electric field distribution in a free-standing nonlinear layer with variation in nonlinearity along its width. These variations of nonlinearity along the width represent graphene impurities, or defects. Results show that solitons propagate effectively even in the presence of strong spatial variations in the nonlinearity, implying the robustness of the medium with respect to optical propagation.

quant-ph↗

arXiv2012

A G-FDTD Method for Solving the Multi-Dimensional Time-Dependent Schrodinger Equation

The Finite-Difference Time-Domain (FDTD) method is a well-known technique for the analysis of quantum devices. It solves a discretized Schrodinger equation in an explicitly iterative process. However, the method requires the spatial grid size and time step satisfy a very restricted condition in order to prevent the numerical solution from diverging. In this article, we present a generalized FDTD (G-FDTD) method for solving the multi-dimensional time-dependent Schrodinger equation, and obtain a more relaxed condition for stability when the finite difference approximations for spatial derivatives are employed. As such, a larger time step may be chosen. This is particularly important for quantum computations. The new G-FDTD method is tested by simulation of a particle moving in 2-D free space and then hitting an energy potential. Numerical results coincide with those obtained based on the theoretical analysis.

quant-ph↗