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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  
Fast ADI method for high dimensional fractional diffusion equations in conservative form with preconditioned strategy Journal article
COMPUTERS & MATHEMATICS WITH APPLICATIONS, 2017,Volume: 73,Issue: 3,Page: 385-403
Authors:  Chou, Lot-Kei;  Lei, Siu-Long
Favorite  |  View/Download:17/0  |  Submit date:2018/10/30
High Dimensional Two-sided Fractional Diffusion Equation  Alternating Direction Implicit Method  Approximate Inverse Preconditioner  Krylov Subspace Method  Superlinear Convergence  Fast Fourier Transform  
Fast algorithms for high-order numerical methods for space-fractional diffusion equations Journal article
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2017,Volume: 94,Issue: 5,Page: 1062-1078
Authors:  Lei, Siu-Long;  Huang, Yun-Chi
Favorite  |  View/Download:38/0  |  Submit date:2018/10/30
Fractional Diffusion Equation  Fourth-order Discretization  Boundary Value Method  Crank-nicolson Preconditioner  Block-circulant Preconditioner  Gmres Method  Circulant- And Skew-circulant Representation Of Toeplitz Matrix Inversion