相关论文: A novel second order finite difference discrete sc…
In this article, a compact finite difference method is proposed for pricing European and American options under jump-diffusion models. Partial integro-differential equation and linear complementary problem governing European and American…
In this paper, a new fractional operator of variable order with the use of the monotonic increasing function is proposed in sense of Caputo type. The properties in term of the Laplace and Fourier transforms are analyzed and the results for…
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…
A finite element scheme for an entirely fractional Allen-Cahn equation with non-smooth initial data is introduced and analyzed. In the proposed nonlocal model, the Caputo fractional in-time derivative and the fractional Laplacian replace…
This paper proposes a new second-order symmetric algorithm for solving decoupled forward-backward stochastic differential equations. Inspired by the alternating direction implicit splitting method for partial differential equations, we…
A novel efficient and high accuracy numerical method for the time-fractional differential equations (TFDEs) is proposed in this work. We show the equivalence between TFDEs and the integer-order extended parametric differential equations…
In this paper, we investigate a fractional differential equation involving sequential Caputo derivatives, motivated by recent research on fractional models with multiple memory effects. Using techniques inspired by earlier works on…
We introduce an integral representation of the Monge-Amp\`ere equation, which leads to a new finite difference method based upon numerical quadrature. The resulting scheme is monotone and fits immediately into existing convergence proofs…
The multi-term time-fractional mixed diffusion-wave equations (TFMDWEs) are considered and the numerical method with its error analysis is presented in this paper. First, a $L2$ approximation is proved with first order accuracy to the…
Fractional differential equations model processes with memory effects, providing a realistic perspective on complex systems. We examine time-delayed differential equations, discussing first-order and fractional Caputo time-delayed…
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…
Using Caputo fractional derivative of order $\alpha $ we build the fractional jet bundle of order $\alpha $ and its main geometrical structures. Defined on that bundle, some fractional dynamical systems with applications to economics are…
Fractional differential equations are powerful mathematical descriptors for intricate physical phenomena in a compact form. However, compared to integer ordinary or partial differential equations, solving fractional differential equations…
Time-fractional parabolic equations with a Caputo time derivative are considered. For such equations, we explore and further develop the new methodology of the a-posteriori error estimation and adaptive time stepping proposed in [7]. We…
In this paper, based on the developed nonlinear fourth-order operator and method of order reduction, a novel fourth-order compact difference scheme is constructed for the mixed-type time-fractional Burgers' equation, from which…
In this paper we develop a fractional Hamiltonian formulation for dynamic systems defined in terms of fractional Caputo derivatives. Expressions for fractional canonical momenta and fractional canonical Hamiltonian are given, and a set of…
A method for the numerical solution of variable order (VO) fractional differential equations (FDE) is presented. The method applies to linear as well as to nonlinear VO-FDEs. The Caputo type VO fractional derivative is employed. First, an…
The paper deals with an optimal control problem in a dynamical system described by a linear differential equation with the Caputo fractional derivative. The goal of control is to minimize a Bolza-type cost functional, which consists of two…
Conventional finite-difference schemes for solving partial differential equations are based on approximating derivatives by finite-differences. In this work, an alternative theory is proposed which view finite-difference schemes as…
This paper detailedly discusses the locally one-dimensional numerical methods for efficiently solving the three-dimensional fractional partial differential equations, including fractional advection diffusion equation and Riesz fractional…