A Gaussian radial basis function-finite difference technique to simulate the HCIR equation

Haifa Bin Jebreen

doi:10.1016/j.cam.2018.08.019

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A Gaussian radial basis function-finite difference technique to simulate the HCIR equation

Journal article

Open access

Peer reviewed

A Gaussian radial basis function-finite difference technique to simulate the HCIR equation

Haifa Bin Jebreen

Journal of computational and applied mathematics, Vol.347, pp.181-195

01/02/2019

DOI: https://doi.org/10.1016/j.cam.2018.08.019

Abstract

Mathematics

Mathematics, Applied

Physical Sciences

Science & Technology

Localized meshless radial basis functions (RBFs), which are due to the application of RBFs and finite difference (FD) methods at the same time, are popular well-resulted computational tools for tackling higher dimension partial differential equations (PDEs). In this research, the objective is not only to study a spatial discretization of the financial Heston-Cox-Ingresoll-Ross (HCIR) PDE, but also to apply a non-uniform distribution of nodes for the application of Gaussian RBFs. The combination of these ideas simulate the HCIR PDE quickly and efficiently. (C) 2018 Elsevier B.V. All rights reserved.

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Title: A Gaussian radial basis function-finite difference technique to simulate the HCIR equation
Creators - without role: Haifa Bin Jebreen - King Saud University
Publication Details: Journal of computational and applied mathematics, Vol.347, pp.181-195
Publisher: Elsevier
Number of pages: 15
Grant note: "Research Center of the Female Scientific and Medical Colleges", Deanship of Scientific Research, King Saud University; King Saud University
Identifiers: 9946933808331
Academic Unit: King Saud University
Language: English
Resource Type: Journal article