Numerical solution using radial basis functions for multidimensional fractional partial differential equations of type Black-Scholes
Fuente:
arXiv
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2020
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866914728416116736 |
|---|---|
| author | Torres-Hernandez, A. Brambila-Paz, F. Torres-Martínez, C. A. |
| author_facet | Torres-Hernandez, A. Brambila-Paz, F. Torres-Martínez, C. A. |
| contents | The aim of this paper is to solve numerically, using the meshless method via radial basis functions, time-space-fractional partial differential equations of type Black-Scholes. The time-fractional partial differential equation appears in several diffusion problems used in physics and engineering applications, and models subdiffusive and superdiffusive behavior of the prices at the stock market. This work shows the flexibility of the radial basis function scheme to solve multidimensional problems with several types of nodes and it also shows how to reduce the condition number of the matrices involved. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2011_07710 |
| institution | arXiv |
| publishDate | 2020 |
| record_format | arxiv |
| spellingShingle | Numerical solution using radial basis functions for multidimensional fractional partial differential equations of type Black-Scholes Torres-Hernandez, A. Brambila-Paz, F. Torres-Martínez, C. A. Numerical Analysis Analysis of PDEs Functional Analysis Applied Physics Computational Physics The aim of this paper is to solve numerically, using the meshless method via radial basis functions, time-space-fractional partial differential equations of type Black-Scholes. The time-fractional partial differential equation appears in several diffusion problems used in physics and engineering applications, and models subdiffusive and superdiffusive behavior of the prices at the stock market. This work shows the flexibility of the radial basis function scheme to solve multidimensional problems with several types of nodes and it also shows how to reduce the condition number of the matrices involved. |
| title | Numerical solution using radial basis functions for multidimensional fractional partial differential equations of type Black-Scholes |
| topic | Numerical Analysis Analysis of PDEs Functional Analysis Applied Physics Computational Physics |
| url | https://arxiv.org/abs/2011.07710 |