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High-dimensional two-sided space fractional diffusion equations with variable diffusion coefficients are discussed. The problems can be solved by an implicit finite difference scheme that is proven to be uniquely solvable, unconditionally stable and first-order convergent in the infinity norm. A nonsingular multilevel circulant preconditoner is proposed to accelerate the convergence rate of the Krylov subspace linear system solver efficiently. The preconditoned matrix for fast convergence is a sum of the identity matrix, a matrix with small norm, and a matrix with low rank under certain conditions. Moreover, the preconditioner is practical, with an O(N log N ) operation cost and O(N ) memory requirement. Illustrative numerical examples are also presented.

We consider high order finite difference methods for two-dimensional fractional differential equations with temporal Caputo and spatial Riemann-Liouville derivatives in this paper. We propose a scheme and show that it converges with second order in time and fourth order in space. The accuracy of our proposed method can be improved by Richardson extrapolation. Approximate solution is obtained by the generalized minimal residual (GMRES) method. A preconditioner is proposed to improve the efficiency for the implementation of the GMRES method.Keywords Two-dimensional fractional differential equation · High order difference scheme · Discrete energy method · Preconditioned GMRES method Mathematics Subject Classification (2010) 35R11 · 65M06 · 65M12 · 65M15

An implicit second-order finite difference scheme, which is unconditionally stable, is employed to discretize fractional advection-diffusion equations with constant coefficients. The resulting systems are full, unsymmetric, and possess Toeplitz structure. Circulant and skew-circulant splitting iteration is employed for solving the Toeplitz system. The method is proved to be convergent unconditionally to the solution of the linear system. Numerical examples show that the convergence rate of the method is fast.

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In recent years, considerable literature has proposed the more general class of exponential Lévy processes as the underlying model for prices of financial quantities, which thus better explain many important empirical facts of financial markets. Finite moment log stable (FMLS), CGMY and KoBoL models are chosen from those above-mentioned models as the dynamics of underlying equity prices in this paper. With such models pricing barrier options, one kind of financial derivatives, is transformed to solve specific fractional partial differential equations (FPDEs). This study focuses on numerically solving these FPDEs via the fully implicit scheme, with the shifted Grünwald approximation. The circulant preconditioned generalized minimal residual method which converges very fast with theoretical proof is incorporated for solving resultant linear systems. Numerical examples are given to demonstrate the effectiveness of the proposed preconditioner and show the accuracy of our method compared with that done by the Fourier cosine expansion method as a benchmark.

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