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

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.