Fast numerical contour integral method for fractional diffusion equations
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Cites work
- scientific article; zbMATH DE number 194139 (Why is no real title available?)
- scientific article; zbMATH DE number 3329420 (Why is no real title available?)
- scientific article; zbMATH DE number 2232776 (Why is no real title available?)
- A Contour Integral Method for the Black–Scholes and Heston Equations
- A Spectral Order Method for Inverting Sectorial Laplace Transforms
- A circulant preconditioner for fractional diffusion equations
- A direct \(O(N \log ^{2} N)\) finite difference method for fractional diffusion equations
- A fast finite difference method for two-dimensional space-fractional diffusion equations
- A parallel method for time discretization of parabolic equations based on Laplace transformation and quadrature
- A parallel method for time-discretization of parabolic problems based on contour integral representation and quadrature
- A second-order accurate numerical approximation for the fractional diffusion equation
- A second-order accurate numerical method for the two-dimensional fractional diffusion equation
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- An \(O(N \log ^{2}N)\) alternating-direction finite difference method for two-dimensional fractional diffusion equations
- Applications of fractional calculus in physics
- Circulant and skew-circulant splitting iteration for fractional advection-diffusion equations
- Convex Analysis
- Existence and uniqueness of the weak solution of the space-time fractional diffusion equation and a spectral method approximation
- Exponentially Convergent Algorithms for the Operator Exponential with Applications to Inhomogeneous Problems in Banach Spaces
- Finite difference approximations for fractional advection-dispersion flow equations
- Finite difference approximations for two-sided space-fractional partial differential equations
- Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
- Improved contour integral methods for parabolic PDEs
- Laplace transform method for parabolic problems with time-dependent coefficients
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- Multigrid method for fractional diffusion equations
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- On the numerical inversion of the Laplace transform of certain holomorphic mappings
- Parabolic and hyperbolic contours for computing the Bromwich integral
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- Shift-invert Arnoldi approximation to the Toeplitz matrix exponential
- Singular values and eigenvalues of non-Hermitian block Toeplitz matrices
- The Accurate Numerical Inversion of Laplace Transforms
- Time discretization of an evolution equation via Laplace transforms
- Time discretization via Laplace transformation of an integro-differential equation of parabolic type
- Waiting-times and returns in high-frequency financial data: An empirical study
Cited in
(30)- A ROM-accelerated parallel-in-time preconditioner for solving all-at-once systems in unsteady convection-diffusion PDEs
- A \(\tau \)-preconditioner for a non-symmetric linear system arising from multi-dimensional Riemann-Liouville fractional diffusion equation
- Numerical contour integral methods for unsteady Stokes equations
- Crank-Nicolson alternative direction implicit method for space-fractional diffusion equations with nonseparable coefficients
- Limited memory block preconditioners for fast solution of fractional partial differential equations
- PCG method with Strang's circulant preconditioner for Hermitian positive definite linear system in Riesz space fractional advection-dispersion equations
- Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing
- Pseudospectral roaming contour integral methods for convection-diffusion equations
- Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing
- A Fast Two-Level Strang Splitting Method for Multi-Dimensional Spatial Fractional Allen-Cahn Equations with Discrete Maximum Principle
- A contour method for time-fractional PDEs and an application to fractional viscoelastic beam equations
- A structure preserving difference scheme with fast algorithms for high dimensional nonlinear space-fractional Schrödinger equations
- Analyses of the contour integral method for time fractional normal-subdiffusion transport equation
- A scale-dependent finite difference approximation for time fractional differential equation
- Mathematical analysis and numerical methods for Caputo-Hadamard fractional diffusion-wave equations
- On the numerical solution of fractional order differential equations using transforms and quadrature
- A fast semi-discrete Kansa method to solve the two-dimensional spatiotemporal fractional diffusion equation
- Laplace transform method for pricing American CEV strangles option with two free boundaries
- A note on parallel preconditioning for the all-at-once solution of Riesz fractional diffusion equations
- Symmetric interior penalty Galerkin method for fractional-in-space phase-field equations
- Computing Semigroups with Error Control
- The contour integral method for Feynman-Kac equation with two internal states
- Circulant preconditioners for a kind of spatial fractional diffusion equations
- Spectral analysis and multigrid preconditioners for two-dimensional space-fractional diffusion equations
- On numerical contour integral method for fractional diffusion equations with variable coefficients
- Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
- Fast finite difference schemes for time-fractional diffusion equations with a weak singularity at initial time
- Spectral analysis for preconditioning of multi-dimensional Riesz fractional diffusion equations
- Fast numerical solution for fractional diffusion equations by exponential quadrature rule
- An approximate inverse preconditioner for spatial fractional diffusion equations with piecewise continuous coefficients
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