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

DOI10.1007/S40314-021-01634-ZMaRDI QIDQ2052275zbMATH OpenOpenAlexWikidataFDO

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

Publication date 25 November 2021

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

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

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)

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.

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Cited in

(4)

• 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
• An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
• 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

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