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A circulant preconditioner for the Riesz distributed-order space-fractional diffusion equations Journal article
Linear and Multilinear Algebra, 2020
Authors:  Huang,Xin;  Fang,Zhi Wei;  Sun,Hai Wei;  Zhang,Chun Hua
Favorite |  | TC[WOS]:0 TC[Scopus]:1 | Submit date:2021/03/09
Circulant Preconditioner  Distributed-order  Preconditioned Conjugated Gradient Method  Space-fractional Diffusion Equations  
Exponential Runge–Kutta Method for Two-Dimensional Nonlinear Fractional Complex Ginzburg–Landau Equations Journal article
Journal of Scientific Computing, 2020,Volume: 83,Issue: 3
Authors:  Zhang,Lu;  Zhang,Qifeng;  Sun,Hai Wei
Favorite |  | TC[WOS]:11 TC[Scopus]:11 | Submit date:2021/03/09
Exponential Runge–kutta Method  Matrix Exponential  Shift-invert Lanczos Method  Space Fractional Ginzburg–landau Equation  Toeplitz Structure  
Numerical solution for multi-dimensional Riesz fractional nonlinear reaction–diffusion equation by exponential Runge–Kutta method Journal article
Journal of Applied Mathematics and Computing, 2020,Volume: 62,Issue: 1-2,Page: 449-472
Authors:  Zhang,Lu;  Sun,Hai Wei
Favorite |  | TC[WOS]:4 TC[Scopus]:3 | Submit date:2021/03/09
Exponential Runge–kutta Method  Matrix Exponential  Riesz Fractional Reaction–diffusion Equation  Shift-invert Lanczos Method  Toeplitz Structure  
A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models Journal article
Computers and Mathematics with Applications, 2020,Volume: 79,Issue: 2,Page: 440-456
Authors:  Chen,Xu;  Ding,Deng;  Lei,Siu Long;  Wang,Wenfei
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2021/03/09
Finite difference method  Finite moment log stable model  Preconditioner  Rainbow options pricing  Two-dimensional fractional partial differential equation  
Tensor-Train Format Solution with Preconditioned Iterative Method for High Dimensional Time-Dependent Space-Fractional Diffusion Equations with Error Analysis Journal article
Journal of Scientific Computing, 2019,Volume: 80,Issue: 3,Page: 1731-1763
Authors:  Chou,Lot Kei;  Lei,Siu Long
Favorite |  | TC[WOS]:2 TC[Scopus]:2 | Submit date:2021/03/11
High dimensional fractional diffusion equation  Krylov subspace method  Preconditioner  Tensor-Train decomposition  
Approximate inversion method for time-fractional subdiffusion equations Journal article
Authors:  Lu, Xin;  Pang, Hong-Kui;  Sun, Hai-Wei;  Vong, Seak-Weng
Favorite |  | TC[WOS]:12 TC[Scopus]:13 | Submit date:2018/10/30
Approximate Inversion Method  Block Lower Triangular Toeplitz Matrix  Fast Fourier Transforms  Matrix Polynomial  Time-fractional Subdiffusion Equations  
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 |  | TC[WOS]:4 TC[Scopus]:5 | 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 Convergence Analysis of the MINRES Method for Some Hermitian Indefinite Systems Conference paper
Authors:  Xie, Ze-Jia;  Jin, Xiao-Qing;  Zhao, Zhi
Favorite |  | TC[WOS]:1 TC[Scopus]:1 | Submit date:2018/10/30
MINRES  Convergence bound  Hermitian indefinite  Toeplitz system  
A fast numerical method for block lower triangular Toeplitz with dense Toeplitz blocks system with applications to time-space fractional diffusion equations Journal article
NUMERICAL ALGORITHMS, 2017,Volume: 76,Issue: 3,Page: 605-616
Authors:  Huang, Yun-Chi;  Lei, Siu-Long
Favorite |  | TC[WOS]:11 TC[Scopus]:12 | Submit date:2018/10/30
Block Lower Triangular Toeplitz Matrix With Dense Toeplitz Blocks  Circulant-and-skew-circulant Representation Of Toeplitz Matrix Inversion  Divide-and-conquer Strategy  Fast Fourier Transform  Time-space Fractional Partial Differential Equations  
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 |  | TC[WOS]:9 TC[Scopus]:9 | Submit date:2019/05/22
American Options  Hamilton–jacobi–bellman Equation  Preconditioner  Tempered Fractional Derivative  Unconditional Stability