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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:5/0  |  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:7/0  |  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:9/0  |  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:3/0  |  Submit date:2019/05/27
Adi  Combined Compact Difference (Ccd) Scheme  Fourier Analysis  Stability  Time-fractional Advection-diffusion Equations  
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:3/0  |  Submit date:2019/05/27
Alternating Direction Implicit Method  Combined Compact Difference Scheme  Unconditionally Stable  Unsteady Convection-diffusion Equation