Numerical Methods for SPDEs with Tempered Stable Processes

DOI10.1137/140966083zbMath1320.65020OpenAlexW1608762139MaRDI QIDQ5254701

Mengdi Zheng, George Em. Karniadakis

Publication date: 10 June 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/0970605cee44e15b23a85021e1caa79f9793368d

zbMATH Keywords

Fokker-Planck equationwhite noisegeneralized polynomial chaostempered fractional PDE

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) White noise theory (60H40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Fractional partial differential equations (35R11) Fokker-Planck equations (35Q84) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Related Items (9)

Stability and convergence of the Crank-Nicolson scheme for a class of variable-coefficient tempered fractional diffusion equations ⋮ On CSCS-based iteration method for tempered fractional diffusion equations ⋮ A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation ⋮ A matrix splitting preconditioning method for solving the discretized tempered fractional diffusion equations ⋮ Humbert generalized fractional differenced ARMA processes ⋮ The implicit midpoint method for Riesz tempered fractional diffusion equation with a nonlinear source term ⋮ Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences ⋮ A preconditioning technique for all-at-once system from the nonlinear tempered fractional diffusion equation ⋮ TFPDE

Uses Software

• R
• MASS (R)

Cites Work

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