The aim of this paper is to solve numerically, using the meshless method via radial basis functions, time-space-fractional partial differential equations of type Black-Scholes. The time-fractional partial differential equation appears in several diffusion problems used in physics and engineering applications, and models subdiffusive and superdiffusive behavior of the prices at the stock market. This work shows the flexibility of the radial basis function scheme to solve multidimensional problems with several types of nodes and it also shows how to reduce the condition number of the matrices involved.
翻译:本文的目的是利用无网点方法,通过无线电基函数、黑雪花类型的时间-空间折射部分差分方程式,用数字解决数字问题。时间折射部分差分方程式出现在物理学和工程应用中使用的若干扩散问题中,以及股票市场价格的不硬性和超硬性行为模型中。这项工作显示了光线基函数办法在用几种节点解决多维问题方面的灵活性,还展示了如何减少所涉矩阵的条件数目。