Numerical solution using radial basis functions for multidimensional fractional partial differential equations of type Black-Scholes

DOI10.1007/S40314-021-01634-ZzbMATH Open1476.35319arXiv2011.07710OpenAlexW3200715395WikidataQ115373486 ScholiaQ115373486MaRDI QIDQ2052275FDOQ2052275

Fernando Brambila-Paz, C. Torres-Martínez, A. Torres-Hernandez

Publication date: 25 November 2021

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Abstract: The aim of this paper is to solve numerically, using the meshless method via radial basis functions, time-space-fractional partial differential equations of type Black-Scholes. The time-fractional partial differential equation appears in several diffusion problems used in physics and engineering applications, and models subdiffusive and superdiffusive behavior of the prices at the stock market. This work shows the flexibility of the radial basis function scheme to solve multidimensional problems with several types of nodes and it also shows how to reduce the condition number of the matrices involved.

Full work available at URL: https://arxiv.org/abs/2011.07710

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zbMATH Keywords

fractional differential equationsmeshless methodsBlack-Scholes equations

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Fractional derivatives and integrals (26A33) Fractional ordinary differential equations (34A08) Fractional partial differential equations (35R11) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50) Numerical radial basis function approximation (65D12)

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Cited In (3)

• The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method
• The non-uniform L1-type scheme coupling the finite volume method for the time-space fractional diffusion equation with variable coefficients
• Acceleration of the order of convergence of a family of fractional fixed-point methods and its implementation in the solution of a nonlinear algebraic system related to hybrid solar receivers

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