On high-order schemes for tempered fractional partial differential equations

Linlin Bu; Cornelis W. Oosterlee

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arXiv · 2009.07321

On high-order schemes for tempered fractional partial differential equations

Linlin Bu·Cornelis W. Oosterlee

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Abstract

In this paper, we propose third-order semi-discretized schemes in space based on the tempered weighted and shifted Gr\"unwald difference (tempered-WSGD) operators for the tempered fractional diffusion equation. We also show stability and convergence analysis for the fully discrete scheme based a Crank--Nicolson scheme in time. A third-order scheme for the tempered Black--Scholes equation is also proposed and tested numerically. Some numerical experiments are carried out to confirm accuracy and effectiveness of these proposed methods.

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Linlin Bu, Cornelis W. Oosterlee. 2020-09-15. On high-order schemes for tempered fractional partial differential equations. https://arxiv.org/abs/2009.07321

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