Mingyu Xu

Homotopy perturbation method to time-fractional diffusion equation with a moving boundary condition

Homotopy perturbation method is successfully extended to solve time-fractional diffusion equation with a moving boundary condition and an approximate solution is obtained. The comparison with the exact solution shows that the approximate solution is sufficiently accurate for practical application in most cases.

Exact solutions of fractional Schrödinger-like equation with a nonlocal term

We study the time-space fractional Schrodinger equation with a nonlocal potential. By the method of Fourier transform and Laplace transform, the Green function, and hence the wave function, is expressed in terms of H-functions. Graphical analysis demonstrates that the influence of both the space-fractal parameter α and the nonlocal parameter ν on the fractional quantum system is strong. Indeed, the nonlocal potential may act similar to a fractional spatial derivative as well as fractional time derivative.

Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers

In this paper we study different algorithms for reflected backward stochastic differential equations (BSDE in short) with two continuous barriers based on the framework of using a binomial tree to simulate 1-d Brownian motion. We introduce numerical algorithms by the penalization method and the reflected method, respectively. In the end simulation results are also presented.

Superhedging Under Ratio Constraint

We consider superhedging of contingent claims under ratio constraint. It has been widely recognized that the minimum cost of superhedging a contingent claim with certain portfolio constraints is equal to the price of a claim with appropriately modified payoff but without constraints. In terms of the backward stochastic differential equation (BSDE) and the variational inequality equation approach, we revisit this result and provide two counterexamples.