UM

Browse/Search Results:  1-4 of 4 Help

Selected(0)Clear Items/Page:    Sort:
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:29/0 | 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:22/0 | 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:22/0 | TC[WOS]:4 TC[Scopus]:6 | Submit date:2019/05/22
American Options  Hamilton–jacobi–bellman Equation  Preconditioner  Tempered Fractional Derivative  Unconditional Stability  
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