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Numerical solution using radial basis functions for multidimensional fractional partial differential equations of type Black-Scholes (2011.07710v3)
Published 16 Nov 2020 in math.NA, cs.NA, math.AP, math.FA, physics.app-ph, and physics.comp-ph
Abstract: 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.