The Monte Carlo Markov chain method for solving the modified anomalous fractional sub-diffusion equation

DOI10.1016/J.JCP.2019.06.012MaRDI QIDQ2222301zbMATH OpenOpenAlexWikidataFDO

Authors Zhi-Zhong Yan, Cheng-Feng Zheng, Chuanzeng Zhang

Publication date 26 January 2021

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jcp.2019.06.012

zbMATH Keywords

compact finite difference schemeirregular domainmodified anomalous fractional subdiffusion equationMonte Carlo Markov chains

Mathematics Subject Classification ID

Fractional partial differential equations (35R11) Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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Cites work

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• scientific article; zbMATH DE number 2217537 (Why is no real title available?)
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Cited in

(3)

• Monte Carlo estimation of the solution of fractional partial differential equations
• A novel analytical technique for the solution of time-fractional Ivancevic option pricing model
• Superposition, reduction of multivariable problems, and approximation

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