On high-order schemes for tempered fractional partial differential equations

DOI10.1016/j.apnum.2021.03.008zbMath1477.65130arXiv2009.07321OpenAlexW3137528153WikidataQ115360345 ScholiaQ115360345MaRDI QIDQ2029138

Linlin Bu, Cornelis W. Oosterlee

Publication date: 3 June 2021

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.07321

zbMATH Keywords

stabilityconvergencehigh-order tempered-WSGD operatorthe tempered fractional derivative

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional derivatives and integrals (26A33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)

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