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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
Favorite  |  View/Download:13/0  |  Submit date:2019/05/22
American Options  Hamilton–jacobi–bellman Equation  Preconditioner  Tempered Fractional Derivative  Unconditional Stability  
On CSCS-based iteration method for tempered fractional diffusion equations Journal article
Japan Journal of Industrial and Applied Mathematics, 2016,Volume: 33,Issue: 3,Page: 583-597
Authors:  Qu W.;  Lei S.-L.
Favorite  |  View/Download:5/0  |  Submit date:2019/02/14
Circulant And skew-Circulant Splitting Iteration  Fast Fourier Transform  Preconditioner  Tempered Fractional Diffusion Equation  Toeplitz Matrix