AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model (Q2223823): Difference between revisions

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+PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
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+High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+ADI finite difference schemes for option pricing in the Heston model with correlation
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+On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
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+The Numerical Solution of Parabolic and Elliptic Differential Equations
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+High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique
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+Q4421310
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+Normal rank
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+An Attempt to Avoid Exact Jacobian and Nonlinear Equations in the Numerical Solution of Stiff Differential Equations
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+AMF-type W-methods for Parabolic Problems with Mixed Derivatives
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+Q4714145
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+Operator splitting and approximate factorization for taxis-diffusion-reaction models
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+W-methods to stabilize standard explicit Runge-Kutta methods in the time integration of advection-diffusion-reaction PDEs
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+W-methods in optimal control
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+New Rosenbrock W-methods of order 3 for partial differential algebraic equations of index
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+Approximate factorization for time-dependent partial differential equations
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+PDE-W-methods for parabolic problems with mixed derivatives
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+Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
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+A family of three-stage third order AMF-W-methods for the time integration of advection diffusion reaction PDEs.
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