Finite difference approximations for two-sided space-fractional partial differential equations

DOI10.1016/J.APNUM.2005.02.008MaRDI QIDQ2581572zbMATH OpenOpenAlexFDO

Authors Mark M. Meerschaert, Charles Tadjeran

Publication date 10 January 2006

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apnum.2005.02.008

zbMATH Keywords

Backward Euler methodconsistencyconvergenceFinite differenceFractional derivativeImplicit Euler methodLeft-handed fractional flownumerical examplesRight-handed fractional flowstabilityTwo-sided fractional partial differential equation

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) PDEs with low regular coefficients and/or low regular data (35R05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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Cited in

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• Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
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