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• W2896765605 endingPage "A3343" @default.
• W2896765605 startingPage "A3322" @default.
• W2896765605 abstract "Using the weighted and shifted Lubich difference (WSLD) operator, we propose an efficient and stable difference scheme for solving space tempered fractional diffusion equations. The scheme has fourth order accuracy in space and second order accuracy in time. To improve the computational efficiency further, a fourth order backward Euler scheme is used to achieve fourth order accuracy in time. The fourth order backward Euler method is shown to be stable under a minor requirement. For two-dimensional problems, the Crank--Nicolson alternating direction implicit (CN-ADI) scheme is used to reduce computational complexity. These proposed methods are applied to the Carr--Geman--Madan--Yor (CGMY) model in finance, and several numerical experiments are designed to verify the efficiency of the proposed methods." @default.
• W2896765605 created "2018-10-26" @default.
• W2896765605 creator A5033020983 @default.
• W2896765605 creator A5085236897 @default.
• W2896765605 creator A5086561841 @default.
• W2896765605 date "2018-01-01" @default.
• W2896765605 modified "2023-10-14" @default.
• W2896765605 title "A High Order Finite Difference Method for Tempered Fractional Diffusion Equations with Applications to the CGMY Model" @default.
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• W2896765605 doi "https://doi.org/10.1137/18m1172739" @default.
• W2896765605 hasPublicationYear "2018" @default.
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