Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients

DOI10.1016/j.cam.2020.112963zbMath1440.65097OpenAlexW3022650570MaRDI QIDQ2186918

Mani Mehra, Kuldip Singh Patel

Publication date: 10 June 2020

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

Full work available at URL: https://doi.org/10.1016/j.cam.2020.112963

zbMATH Keywords

partial differential equationscompact schemesfractional Black-Scholes equationsspace fractional advection-diffusion reaction equations

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) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

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Uses Software

• Algorithm 986

Cites Work

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