Computational approach based on wavelets for financial mathematical model governed by distributed order fractional differential equation

DOI10.1016/j.matcom.2021.05.026OpenAlexW3170699221WikidataQ114149965 ScholiaQ114149965MaRDI QIDQ2666263

Yashveer Kumar, Vineet Kumar Singh

Publication date: 22 November 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2021.05.026

zbMATH Keywords

convergence analysisLegendre waveletsCaputo derivativeoperational matricesChebyshev waveletsdistributed order time-fractional Black-Scholes modelmodified Riemann-Liouville's fractional derivative

Mathematics Subject Classification ID

Numerical analysis (65-XX) Systems theory; control (93-XX)

Related Items (11)

Touchard wavelet technique for solving time-fractional Black-Scholes model ⋮ Computational algorithm for financial mathematical model based on European option ⋮ Wavelets based computational algorithms for multidimensional distributed order fractional differential equations with nonlinear source term ⋮ Novel and accurate Gegenbauer spectral tau algorithms for distributed order nonlinear time-fractional telegraph models in multi-dimensions ⋮ Improved Gegenbauer spectral tau algorithms for distributed-order time-fractional telegraph models in multi-dimensions ⋮ Numerical Scheme with Convergence Analysis and Error Estimate for Variable Order Weakly Singular Integro-Differential Equation ⋮ An efficient parametric finite difference and orthogonal spline approximation for solving the weakly singular nonlinear time-fractional partial integro-differential equation ⋮ Time-fractional telegraph equation of distributed order in higher dimensions with hilfer fractional derivatives ⋮ General Lagrange scaling functions: application in general model of variable order fractional partial differential equations ⋮ Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation ⋮ A class of preconditioner for solving the Riesz distributed-order nonlinear space-fractional diffusion equations

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