A High Order Finite Difference Method for Tempered Fractional Diffusion Equations with Applications to the CGMY Model

DOI10.1137/18M1172739zbMath1407.65106OpenAlexW2896765605WikidataQ129110882 ScholiaQ129110882MaRDI QIDQ4691176

Yutian Li, Hong Wang, Xu Guo

Publication date: 19 October 2018

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/18m1172739

zbMATH Keywords

fractional diffusion equationsCGMY modelfast finite difference methodstempered fractional derivatives

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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) 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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