Related papers: High order algorithms for the fractional substanti…
In this work, in order to obtain higher-order schemes for solving forward backward stochastic differential equations, we adopt the high-order multi-step method in [W. Zhao, Y. Fu and T. Zhou, SIAM J. Sci. Comput., 36(4) (2014),…
In this work, we develop and analyze a higher-order finite element method for the multidimensional fragmentation equation. To the best of our knowledge, this is the first study to establish a rigorous, conforming finite element framework…
In this paper, we present and analyse a class of "filtered" numerical schemes for second order Hamilton-Jacobi-Bellman equations. Our approach follows the ideas introduced in B.D. Froese and A.M. Oberman, Convergent filtered schemes for the…
The second and all higher order moments of the $\beta$-stable L\'{e}vy process diverge, the feature of which is sometimes referred to as shortcoming of the model when applied to physical processes. So, a parameter $\lambda$ is introduced to…
The advection-diffusion and wave equations are the fundamental equations governing any physical law and therefore arise in many areas of physics and astrophysics. For complex problems and geometries, only numerical simulations can give…
An implicit finite difference scheme based on the $L2$-$1_{\sigma}$ formula is presented for a class of one-dimensional time fractional reaction-diffusion equations with variable coefficients and time drift term. The unconditional stability…
In this paper, we develop two fast implicit difference schemes for solving a class of variable-coefficient time-space fractional diffusion equations with integral fractional Laplacian (IFL). The proposed schemes utilize the graded $L1$…
Fractional diffusion equations replace the integer-order derivatives in space and time by their fractional-order analogues. They are used in physics to model anomalous diffusion. This paper develops strong solutions of space-time fractional…
In this article, we have developed a higher order compact numerical method for variable coefficient parabolic problems with mixed derivatives. The finite difference scheme, presented here for two-dimensional domains, is based on fourth…
We investigate a local modification of a variable-order fractional wave equation, which describes the propagation of diffusive wave in viscoelastic media with evolving physical property. We incorporate an equivalent formulation to prove the…
In this paper, an alternating direction implicit (ADI) difference scheme for two-dimensional time-fractional wave equation of distributed-order with a nonlinear source term is presented. The unique solvability of the difference solution is…
Purely dispersive partial differential equations as the Korteweg-de Vries equation, the nonlinear Schr\"odinger equation and higher dimensional generalizations thereof can have solutions which develop a zone of rapid modulated oscillations…
The fractional Feynman-Kac equations describe the distribution of functionals of non-Brownian motion, or anomalous diffusion, including two types called the forward and backward fractional Feynman-Kac equations, where the fractional…
This study presents a novel high-order numerical method designed for solving the two-dimensional time-fractional convection-diffusion (TFCD) equation. The Caputo definition is employed to characterize the time-fractional derivative. A weak…
Considering the use of dynamical systems in practical applications, often only limited regions in the time or frequency domain are of interest. Therefor, it usually pays off to compute local approximations of the used dynamical systems in…
In this paper, we obtain the functional derivatives of a finite horizon error norm between a full-order and a reduced-order continuous-time linear time-varying (LTV) system. Based on the functional derivatives, first-order necessary…
We address L\'{e}vy-stable stochastic processes in bounded domains, with a focus on a discrimination between inequivalent proposals for what a boundary data-respecting fractional Laplacian (and thence the induced random process) should…
We introduce in this paper the numerical analysis of high order both in time and space Lagrange-Galerkin methods for the conservative formulation of the advection-diffusion equation. As time discretization scheme we consider the Backward…
In this paper, we consider the composition of two independent processes : one process corresponds to position and the other one to time. Such processes will be called iterated processes. We first propose an algorithm based on the Euler…
This paper establishes explicit solutions for fractional diffusion problems on bounded domains. It also gives stochastic solutions, in terms of Markov processes time-changed by an inverse stable subordinator whose index equals the order of…