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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:30/0 | TC[WOS]:4 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:22/0 | TC[WOS]:4 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:22/0 | TC[WOS]:6 TC[Scopus]:6 | 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]:15 TC[Scopus]:14 | 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:16/0 | 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:5/0 | 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:12/0 | TC[WOS]:28 TC[Scopus]:31 | 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:11/0 | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/02/13 BVMs Compact difference scheme Crank-Nicolson Heat equation Unconditional stability |