Review of the fractional Black-Scholes equations and their solution techniques

H Zhang, M Zhang, F Liu, M Shen - Fractal and Fractional, 2024 - mdpi.com
The pioneering work in finance by Black, Scholes and Merton during the 1970s led to the
emergence of the Black-Scholes (BS) equation, which offers a concise and transparent …

L3 approximation of Caputo derivative and its application to time-fractional wave equation-(I)

N Srivastava, VK Singh - Mathematics and Computers in Simulation, 2023 - Elsevier
In this manuscript, first of all, we have developed two novel numerical approximations
(called L3 and ML3 approximation) of the Caputo fractional derivative of order α∈(1, 2). We …

Wavelets based computational algorithms for multidimensional distributed order fractional differential equations with nonlinear source term

Y Kumar, N Srivastava, A Singh, VK Singh - Computers & Mathematics with …, 2023 - Elsevier
In this manuscript we provide effective computational algorithms based on Legendre
wavelet (LW), Bernstein wavelet (BW), and standard tau approach to approximate the …

A high order numerical method for the variable order time-fractional reaction-subdiffusion equation

P Rajput, N Srivastava, VK Singh - Chinese Journal of Physics, 2023 - Elsevier
In this paper, we present a high order new numerical approximation for variable order
Caputo fractional derivative of order 0< α (x, t)< 1, by using the idea of interpolation. Then, by …

Designing an efficient algorithm for fractional partial integro-differential viscoelastic equations with weakly singular kernel

H Dehestani, Y Ordokhani - Computational Methods for …, 2024 - cmde.tabrizu.ac.ir
In this paper, the discretization method is developed by means of Mott-fractional Mott
functions (MFM-Fs) for solving fractional partial integro-differential viscoelastic equations …

Higher Order Stable Numerical Algorithm for the Variable Order Time-Fractional Sub-diffusion Equation

P Rajput, N Srivastava, VK Singh - Iranian Journal of Science, 2024 - Springer
In the present work, we proposed a numerical scheme for solving the Variable order time
fractional sub-diffusion equation (VOTFSDE) by finite difference method. The variable order …

[ЦИТИРОВАНИЕ][C] Approximation techniques and algorithms for the fractional order mathematical models

N Srivastava - 2023 - IIT (BHU) Varanasi