On high-order schemes for tempered fractional partial differential equations

DOI10.1016/j.apnum.2021.03.008zbMath1477.65130arXiv2009.07321WikidataQ115360345 ScholiaQ115360345MaRDI QIDQ2029138

Cornelis W. Oosterlee, Linlin Bu

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

stability; convergence; high-order tempered-WSGD operator; the tempered fractional derivative

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

26A33: Fractional derivatives and integrals

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

35R11: Fractional partial differential equations