Related papers: Efficient Solution of Backward Jump-Diffusion PIDE…
A spectral method for solving linear partial differential equations (PDEs) with variable coefficients and general boundary conditions defined on rectangular domains is described, based on separable representations of partial differential…
We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly and exponentially fast. Each element of the approximating…
Developing analytical methods for solving fractional partial differential equations (FPDEs) is an active area of research. Especially finding exact solutions of FPDEs is a challenging task. In the present paper we extend Sumudu transform…
Splitting methods constitute a well-established class of numerical schemes for the time integration of partial differential equations. Their main advantages over more traditional schemes are computational efficiency and superior geometric…
In this article I present a fast and direct method for solving several types of linear finite difference equations (FDE) with constant coefficients. The method is based on a polynomial form of the translation operator and its inverse, and…
This article studies a direct numerical approach for fractional advection-diffusion equations (ADEs). Using a set of cubic trigonometric B-splines as test functions, a differential quadrature (DQ) method is firstly proposed for the 1D and…
We propose an easy-to-implement iterative method for resolving the implicit (or semi-implicit) schemes arising in solving reaction-diffusion (RD) type equations. We formulate the nonlinear time implicit scheme as a min-max saddle point…
We study solution techniques for parabolic equations with fractional diffusion and Caputo fractional time derivative, the latter being discretized and analyzed in a general Hilbert space setting. The spatial fractional diffusion is realized…
Parabolic partial differential equations (PDEs) appear in many disciplines to model the evolution of various mathematical objects, such as probability flows, value functions in control theory, and derivative prices in finance. It is often…
In this paper, a higher order finite difference scheme is proposed for Generalized Fractional Diffusion Equations (GFDEs). The fractional diffusion equation is considered in terms of the generalized fractional derivatives (GFDs) which uses…
In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of this PDE method in cases where the usual regularity…
In this paper, using a pseudospectral approach, we develop operational matrices based on the shifted Chebyshev polynomials to approximate numerically Caputo fractional derivatives and Riemann-Liouville fractional integrals. In order to make…
In this paper, we present a method based on Radial Basis Function (RBF)-generated Finite Differences (FD) for numerically solving diffusion and reaction-diffusion equations (PDEs) on closed surfaces embedded in $\mathbb{R}^d$. Our method…
This manuscript proposes a class of fractional stochastic integro-differential equation (FSIDE) with non-instantaneous impulses in an arbitrary separable Hilbert space. We use a projection scheme of increasing sequence of finite dimensional…
Two types of second-order in time partial differential equations (PDEs), namely semilinear wave equations and semilinear beam equations are considered. To solve these equations with exponential integrators, we present an approach to compute…
Nonlinear time fractional partial differential equations are widely used in modeling and simulations. In many applications, there are high contrast changes in media properties. For solving these problems, one often uses coarse spatial grid…
Boundary integral methods are attractive for solving homogeneous linear constant coefficient elliptic partial differential equations on complex geometries, since they can offer accurate solutions with a computational cost that is linear or…
We study an efficient strategy based on finite elements to value spread options on commodities whose underlying assets follow a dynamic described by a certain class of two-dimensional Levy models by solving their associated partial…
This work is on a fast and accurate reduced basis method for solving discretized fractional elliptic partial differential equations (PDEs) of the form $\mathcal{A}^su=f$ by rational approximation. A direct computation of the action of such…
We develop a new approach for solving stochastic quantum master equations with mixed initial states. First, we obtain that the solution of the jump-diffusion stochastic master equation is represented by a mixture of pure states satisfying a…