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CRANK–NICOLSON ALTERNATIVE DIRECTION IMPLICIT METHOD FOR SPACE-FRACTIONAL DIFFUSION EQUATIONS WITH NONSEPARABLE COEFFICIENTS Journal article
SIAM Journal on Numerical Analysis, 2019,Volume: 57,Issue: 3,Page: 997-1019
Authors:  XUE-LEI LIN;  MICHAEL K. NG;  HAI-WEI SUN
Favorite | View/Download:27/0 | TC[WOS]:2 TC[Scopus]:4 | Submit date:2019/06/10
Nonseparable Variable Coefficients  Crank–nicolson Adi Methods  Space-fractional Diffusion Equations  Unconditional Stability Analysis  
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
Favorite | View/Download:21/0 | TC[WOS]:1 TC[Scopus]:4 | Submit date:2019/05/22
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
Favorite | View/Download:21/0 | TC[WOS]:4 TC[Scopus]:5 | Submit date:2019/05/22
American Options  Hamilton–jacobi–bellman Equation  Preconditioner  Tempered Fractional Derivative  Unconditional Stability  
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
Favorite | View/Download:14/0 | TC[WOS]:13 TC[Scopus]:13 | Submit date:2019/05/27
Adi  Combined Compact Difference (Ccd) Scheme  Fourier Analysis  Stability  Time-fractional Advection-diffusion Equations  
A note on the stability of a second order finite difference scheme for space fractional diffusion equations Journal article
Numerical Algebra, Control and Optimization, 2014,Volume: 4,Issue: 4,Page: 317-325
Authors:  Qu W.;  Lei S.-L.;  Vong S.-W.
Favorite | View/Download:12/0 | TC[WOS]:0 TC[Scopus]:2 | Submit date:2018/12/24
Riemann-Liouville derivative  Second order finite difference scheme  Space fractional diffusion equation  Unconditionally stable  
Advantage of using a higher order basis for the solution of large electromagnetic field problems Conference paper
2014 IEEE International Wireless Symposium, IWS 2014
Authors:  Salazar-Palma M.;  Donoro D.G.;  Sarkar T.K.;  Zhang Y.;  Moon H.;  Ting S.W.
Favorite | View/Download:4/0 | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/03/01
A CCD-ADI method for unsteady convection-diffusion equations Journal article
Computer Physics Communications, 2013,Volume: 185,Issue: 3,Page: 790-797
Authors:  Sun,Hai Wei;  Li,Leonard Z.
Favorite | View/Download:11/0 | TC[WOS]:24 TC[Scopus]:30 | Submit date:2019/05/27
Alternating Direction Implicit Method  Combined Compact Difference Scheme  Unconditionally Stable  Unsteady Convection-diffusion Equation  
Boundary value methods with the Crank-Nicolson preconditioner for pricing options in the jump-diffusion model Journal article
International Journal of Computer Mathematics, 2011,Volume: 88,Issue: 8,Page: 1730-1748
Authors:  Shu-Ling Yang;  Spike T. Lee;  Hai-Wei Sun
Favorite | View/Download:13/0 | TC[WOS]:4 TC[Scopus]:4 | Submit date:2019/02/13
Boundary Value Method  Crank-nicolson Time-marching Scheme  Fourth-order Compact Scheme  Jump-diffusion  Preconditioner  Toeplitz Matrix  
A fourth-order compact BVM scheme for the two-dimensional heat equations Conference paper
Proceedings of the 2008 International Conference on Scientific Computing, CSC 2008
Authors:  Sun H.-W.;  Wang W.
Favorite | View/Download:10/0 | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/02/13
BVMs  Compact difference scheme  Crank-Nicolson  Heat equation  Unconditional stability