This paper establishes a lattice Boltzmann method （LBM） with two amending functions for solving partial differential equations （PDEs） arising in Asian and lookback options pricing. The time evolution of stock prices can be regarded as the movement of randomizing particles in different directions, and the discrete scheme of LBM can be interpreted as the binomial models. With the Chapman-Enskog multi-scale expansion, the PDEs are recovered correctly from the continuous Boltzmann equation and the computational complexity is O（N）, where N is the number of space nodes. Compared to the traditional LBM, the coefficients of equilibrium distribution and amending functions are taken as polynomials instead of constants. The stability of LBM is studied via numerical examples and numerical comparisons show that the LBM is as accurate as the existing numerical methods for pricing the exotic options and takes much less CPU time.
A moving collocation method has been shown to be very effcient for the adaptive solution of second- and fourth-order time-dependent partial differential equations and forms the basis for the two robust codes MOVCOL and MOVCOL4. In this paper, the relations between the method and the traditional collocation and finite volume methods are investigated. It is shown that the moving collocation method inherits desirable properties of both methods： the ease of implementation and high-order convergence of the traditional collocation method and the mass conservation of the finite volume method. Convergence of the method in the maximum norm is proven for general linear two-point boundary value problems. Numerical results are given to demonstrate the convergence order of the method.
With the aim of simulating the blow-up solutions, a moving finite element method, based on nonuni- form meshes both in time and in space, is proposed in this paper to solve time fractional partial differential equations （FPDEs）. The unconditional stability and convergence rates of 2 -a for time and r for space are proved when the method is used for the linear time FPDEs with a-th order time derivatives. Numerical exam-ples are provided to support the theoretical findings, and the blow-up solutions for the nonlinear FPDEs are simulated by the method.
This paper studies a system of semi-linear fractional diffusion equations which arise in competitive predator-preymodels by replacing the second-order derivatives in the spatial variables with fractional derivatives of order less than two.Moving finite element methods are proposed to solve the system of fractional diffusion equations and the convergence rates of the methods are proved.Numerical examples are carried out to confirm the theoretical findings.Some applications in anomalous diffusive Lotka-Volterra and Michaelis-Menten-Holling predator-preymodels are studied.
