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An approximate inverse preconditioner for spatial fractional diffusion equations with piecewise continuous coefficients Journal article
International Journal of Computer Mathematics, 2019
Authors:  Fang,Zhi Wei;  Sun,Hai Wei;  Wei,Hui Qin
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Approximate Inverse  Circulant Matrix  Fast Fourier Transform  Fractional Diffusion Equation  Krylov Subspace Methods  Piecewise Continuous Coefficients  Toeplitz Matrix  
Fast Laplace Transform Methods for Free-Boundary Problems of Fractional Diffusion Equations Journal article
Journal of Scientific Computing, 2018,Volume: 74,Issue: 1,Page: 49-69
Authors:  Zhou,Zhiqiang;  Ma,Jingtang;  Sun,Hai wei
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American Option Pricing  Fractional Diffusion Equations  Free-boundary Problems  Hyperbola Contour Integral  Laplace Transform Methods  Toeplitz Matrix  
A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models Journal article
Journal of Scientific Computing, 2017,Volume: 75,Issue: 3,Page: 1633-1655
Authors:  Siu-Long Lei;  Wenfei Wang;  Xu Chen;  Deng Ding
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American Options  Fast Preconditioned Penalty Method  Linear Complementarity Problems  Nonlinear Tempered Fractional Partial Differential Equations  Regime-switching Lévy Process  Unconditional Stability  
A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation Journal article
Computers and Mathematics with Applications, 2017,Volume: 73,Issue: 9,Page: 1932-1944
Authors:  Xu Chen;  Wenfei Wang;  Deng Ding;  Siu-Long Lei
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American Options  Hamilton–jacobi–bellman Equation  Preconditioner  Tempered Fractional Derivative  Unconditional Stability  
A multigrid method for linear systems arising from time-dependent two-dimensional space-fractional diffusion equations Journal article
Journal of Computational Physics, 2017,Volume: 336,Page: 69-86
Authors:  Lin,Xue lei;  Ng,Michael K.;  Sun,Hai Wei
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Banded-splitting Smoother  Fractional Diffusion Equation  Multigrid Method  Non-rectangular Domain  
A fast accurate approximation method with multigrid solver for two-dimensional fractional sub-diffusion equation Journal article
Journal of Computational Physics, 2016,Volume: 323,Page: 204-218
Authors:  Lin,Xue lei;  Lu,Xin;  Ng,Micheal K.;  Sun,Hai Wei
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Block Lower Triangular Toeplitz Matrix  Block Ε-circulant Approximation  Fractional Sub-diffusion Equations  Multigrid Method  
Circulant preconditioning technique for barrier options pricing under fractional diffusion models Journal article
International Journal of Computer Mathematics, 2015,Volume: 92,Issue: 12,Page: 2596-2614
Authors:  Wenfei Wang;  Xu Chen;  Deng Ding;  Siu-Long Lei
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Barrier Options Pricing  Circulant Preconditioner  Fractional Diffusion Equations  Krylov Subspace Methods  Lévy Process  
Fast numerical solution for fractional diffusion equations by exponential quadrature rule Journal article
Journal of Computational Physics, 2015,Volume: 299,Page: 130-143
Authors:  Zhang,Lu;  Sun,Hai Wei;  Pang,Hong Kui
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Exponential Quadrature Rule  Fractional Diffusion Equation  Matrix Exponential  Preconditioned Gmres  Shift-invert Arnoldi  Toeplitz-like Structure  
Three-point combined compact alternating direction implicit difference schemes for two-dimensional time-fractional advection-diffusion equations Journal article
Communications in Computational Physics, 2015,Volume: 17,Issue: 2,Page: 487-509
Authors:  Gao,Guang Hua;  Sun,Hai Wei
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Adi  Combined Compact Difference (Ccd) Scheme  Fourier Analysis  Stability  Time-fractional Advection-diffusion Equations  
Preconditioned iterative methods for fractional diffusion models in finance Journal article
Numerical Methods for Partial Differential Equations, 2014,Volume: 31,Issue: 5,Page: 1382-1395
Authors:  Qing-Jiang Meng;  Deng Ding;  Qin Sheng
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Crank-nicolson Discretization  Fast Fourier Transform  Fractional Partial Derivatives  Lévy Process  Preconditioning Method  Toeplitz Matrix