Parabolic and hyperbolic contours for computing the Bromwich integral
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Publication:3433758
DOI10.1090/S0025-5718-07-01945-XzbMATH Open1113.65119OpenAlexW1994338028MaRDI QIDQ3433758FDOQ3433758
Authors: J. A. C. Weideman, Lloyd N. Trefethen 
Publication date: 2 May 2007
Published in: Mathematics of Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/s0025-5718-07-01945-x
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Laplace transformnumerical inversionerror estimatesfractional differential equationhyperbolic contourtrapezoidal ruleTalbot's methodparabolic contourBromwich contour integral
Integro-partial differential equations (45K05) Fractional derivatives and integrals (26A33) Heat equation (35K05) Laplace transform (44A10) Numerical methods for integral transforms (65R10) Transform methods (e.g., integral transforms) applied to PDEs (35A22)
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Cited In (only showing first 100 items - show all)
- A note on Krylov methods for fractional evolution problems
- Fast and Oblivious Algorithms for Dissipative and Two-dimensional Wave Equations
- Analysis of BDF2 finite difference method for fourth-order integro-differential equation
- Implementation of high-order, discontinuous Galerkin time stepping for fractional diffusion problems
- Efficient variants of the CMRH method for solving a sequence of multi-shifted non-Hermitian linear systems simultaneously
- Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing
- Error estimates for approximations of distributed order time fractional diffusion with nonsmooth data
- Limitations and improvements of standard spectral methods for pricing standard options
- Methods for Laplace transform inversion
- Acceleration of contour integration techniques by rational Krylov subspace methods
- A pseudo-spectral scheme for the approximate solution of a time-fractional diffusion equation
- A quadrature based method for evaluating exponential-type functions for exponential methods
- On complete monotonicity of the Prabhakar function and non-Debye relaxation in dielectrics
- Application of nonlinear time-fractional partial differential equations to image processing via hybrid Laplace transform method
- On the use of matrix functions for fractional partial differential equations
- Rational inversion of the Laplace transform
- Laplace inversion for the solution of an abstract heat equation without the forward transform of the source term
- Fokas transform method for a brain tumor invasion model with heterogeneous diffusion in 1+1 dimensions
- Two hybrid methods for solving two-dimensional linear time-fractional partial differential equations
- A hybrid analytical–numerical method for solving evolution partial differential equations. I. The half-line
- Evaluation of generalized Mittag-Leffler functions on the real line
- Turing Pattern Dynamics in an SI Epidemic Model with Superdiffusion
- A stable fast time-stepping method for fractional integral and derivative operators
- Higher-order schemes for the Laplace transformation method for parabolic problems
- High-order compact finite difference and Laplace transform method for the solution of time-fractional heat equations with dirchlet and Neumann boundary conditions
- Evaluation of the Riemann-Mellin integral
- Calculation of the channel discharge function for the generalized lightning traveling current source return stroke model
- Fast numerical contour integral method for fractional diffusion equations
- On the time-fractional Schrödinger equation: theoretical analysis and numerical solution by matrix Mittag-Leffler functions
- Computing the matrix Mittag-Leffler function with applications to fractional calculus
- A robust spectral method for solving Heston's model
- An algorithm for the inversion of Laplace transforms using Puiseux expansions
- Solution of time-convolutionary Maxwell's equations using parameter-dependent Krylov subspace reduction
- Complex Gaussian quadrature of oscillatory integrals
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- On the distribution of the number of success runs in a continuous time Markov chain
- An improved Talbot method for numerical Laplace transform inversion
- Laplace transformation method for the Black-Scholes equation
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- Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing
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- Approximating the Gaussian as a sum of exponentials and its applications to the fast Gauss transform
- Generalized exponential time differencing methods for fractional order problems
- Stability-preserving high-order methods for multiterm fractional differential equations
- On numerical contour integral method for fractional diffusion equations with variable coefficients
- An extension of the `1/9'-problem
- Performance comparison of numerical inversion methods for Laplace and Hankel integral transforms in engineering problems
- Talbot quadratures and rational approximations
- BiCR-type methods for families of shifted linear systems
- Laplace transform method for pricing American CEV strangles option with two free boundaries
- Exponentially convergent method for the \(m\)-point nonlocal problem for a first order differential equation in Banach space
- On the numerical solution of Bagley-Torvik equation via the Laplace transform
- Diffusive realizations for solutions of some operator equations: the one-dimensional case
- A localized transform-based meshless method for solving time fractional wave-diffusion equation
- On integration contour deformation in a Laplace transform inversion formula
- Restarted Hessenberg method for solving shifted nonsymmetric linear systems
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- A Laplace transform approach for pricing European options
- On nonnegativity preservation in finite element methods for subdiffusion equations
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- Numerical evaluation of two and three parameter Mittag-Leffler functions
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- A practical guide to Prabhakar fractional calculus
- Computing Semigroups with Error Control
- On the Laplace-transformed-based local meshless method for fractional-order diffusion equation
- Computational study based on the Laplace transform and local discontinuous Galerkin methods for solving fourth-order time-fractional partial integro-differential equations with weakly singular kernels
- Numerical contour integral methods for unsteady Stokes equations
- Numerical solution of the linear time fractional Klein-Gordon equation using transform based localized RBF method and quadrature
- On the numerical approximation of Volterra integro-differential equation using Laplace transform
- Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model
- Discrete-space time-fractional processes
- A computational approach to exponential-type variable-order fractional differential equations
- A contour method for time-fractional PDEs and an application to fractional viscoelastic beam equations
- Frequency-dependent thermal resistance of vertical U-tube geothermal heat exchangers
- Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing
- A kernel-independent sum-of-exponentials method
- Analyses of the contour integral method for time fractional normal-subdiffusion transport equation
- One-dimensional haemodynamic model of a vascular network with fractional-order viscoelasticity
- On restarted and deflated block FOM and GMRES methods for sequences of shifted linear systems
- Numerical evaluation of Mittag-Leffler functions
- A parallel-in-time algorithm for high-order BDF methods for diffusion and subdiffusion equations
- Optimal Control of Parabolic Equations – A Spectral Calculus Based Approach
- Nonparametric statistical inference for compound models
- Numerical approximation for generalized fractional Volterra integro-differential equations via parabolic contour
- Variable-order fractional calculus: a change of perspective
- The contour integral method for Feynman-Kac equation with two internal states
- Numerical modelling of advection diffusion equation using Chebyshev spectral collocation method and Laplace transform
- Arbitrarily high-order exponential cut-off methods for preserving maximum principle of parabolic equations
- Efficient computation of the Wright function and its applications to fractional diffusion-wave equations
- Scaled and squared subdiagonal Padé approximation for the matrix exponential
- Fully numerical Laplace transform methods
- Contour integral solution of elliptic PDEs in cylindrical domains
- Eigenmatrix for unstructured sparse recovery
- Computing functions of very large matrices with small TT/QTT ranks by quadrature formulas
- Gauss-Hermite quadrature for the Bromwich integral
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