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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 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]:10 TC[Scopus]:11 | 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  
Stability of fully discrete schemes with interpolation-type fractional formulas for distributed-order subdiffusion equations Journal article
NUMERICAL ALGORITHMS, 2017,Volume: 75,Issue: 4,Page: 845-878
Authors:  Liao, Hong-lin;  Lyu, Pin;  Vong, Seakweng;  Zhao, Ying
Favorite |  | TC[WOS]:16 TC[Scopus]:17 | Submit date:2018/10/30
Fractional Subdiffusion Equations  Caputo Derivative  Caputo's Bdf Formulas  Minimum-maximum Principle  Discrete Energy Method  Stability And Convergence  
A multigrid method for linear systems arising from time-dependent two-dimensional space-fractional diffusion equations Journal article
Journal of Computational Physics, 2017,Volume: 336,Page: 69-86
Authors:  Lin,Xue lei;  Ng,Michael K.;  Sun,Hai Wei
Favorite |  | TC[WOS]:24 TC[Scopus]:24 | Submit date:2019/05/27
Banded-splitting Smoother  Fractional Diffusion Equation  Multigrid Method  Non-rectangular Domain  
On numerical contour integral method for fractional diffusion equations with variable coefficients Journal article
APPLIED MATHEMATICS LETTERS, 2017,Volume: 64,Page: 137-142
Authors:  Vong, Seakweng;  Lyu, Pin
Favorite |  | TC[WOS]:2 TC[Scopus]:3 | Submit date:2018/10/30
Fractional Diffusion Equations  Variable Coefficients  Numerical Contour Integral  
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 |  | TC[WOS]:10 TC[Scopus]:10 | 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 |  | TC[WOS]:21 TC[Scopus]:23 | 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