Numerical solution using radial basis functions for multidimensional fractional partial differential equations of type Black-Scholes
Numerical Analysis
2024-03-27 v3 Numerical Analysis
Analysis of PDEs
Functional Analysis
Applied Physics
Computational Physics
Abstract
The aim of this paper is to solve numerically, using the meshless method via radial basis functions, time-space-fractional partial differential equations of type Black-Scholes. The time-fractional partial differential equation appears in several diffusion problems used in physics and engineering applications, and models subdiffusive and superdiffusive behavior of the prices at the stock market. This work shows the flexibility of the radial basis function scheme to solve multidimensional problems with several types of nodes and it also shows how to reduce the condition number of the matrices involved.
Cite
@article{arxiv.2011.07710,
title = {Numerical solution using radial basis functions for multidimensional fractional partial differential equations of type Black-Scholes},
author = {A. Torres-Hernandez and F. Brambila-Paz and C. A. Torres-Martínez},
journal= {arXiv preprint arXiv:2011.07710},
year = {2024}
}