Numerical solution using radial basis functions for multidimensional fractional partial differential equations of type Black–Scholes

نویسندگان

چکیده

In this paper, as far the authors know, for first time, a one-dimensional partial differential model is generalized using fractional operators and same principle that provides dimensional invariance of radial basis functions methodology, resulting in multidimensional can be solved numerical scheme functions. A proposed to solve numerically, on different node configurations, equations, both space time. Using QR factorization, way reduce condition number interpolation matrices presented, used numerically diffusion equation may obtained from Black–Scholes model, well some generalizations with multiple dimensions. The Caputo derivative discretized an order error $${\mathcal {O}}(\mathrm{{d}}t^{n-\alpha +1})$$ , $$(n-1)<\alpha \le n$$ . examples equations are presented involve operator temporal part due memory phenomenon, Riemann–Liouville spatial property nonlocality.

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ژورنال

عنوان ژورنال: Computational & Applied Mathematics

سال: 2021

ISSN: ['1807-0302', '2238-3603']

DOI: https://doi.org/10.1007/s40314-021-01634-z