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What is Fourth Order Compact Scheme for Fractional PDEs about?
This document presents a new fourth order compact scheme for solving space fractional advection-diffusion reaction equations with variable coefficients. The authors derive a fourth order accurate approximation for Riemann-Liouville fractional derivatives and demonstrate the stability of the proposed scheme through numerical examples. Additionally, the scheme is applied to the space fractional Black-Scholes equation for pricing European options, showcasing its practical relevance in mathematical finance.
- Author
- YVES NDJOPNANG
- Language
- EN