A 2nd-order one-point numerical integration scheme for fractional ordinary differential equations

Author:

Li Wen, ,Wang Song,Rehbock Volker

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

Applied Mathematics,Control and Optimization,Algebra and Number Theory,Applied Mathematics,Control and Optimization,Algebra and Number Theory

Reference30 articles.

1. A high order scheme for the numerical solution of the fractional ordinary differential equations,;J. Cao;\emph{Journal of Computational Physics},2013

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4. A penalty method for a fractional order parabolic variational inequality governing American put option valuation,;W. Chen;\emph{Comp. Math. With Appl.},2014

5. A finite difference method for pricing European and American options under a geometric Levy process,;W. Chen;\emph{Journal of Industrial & Management Optimization},2015

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