Extension of high-order compact schemes to time-dependent problems
compact stencilsconvection diffusion equationdifference schemehigh-order methodsnumerical examplessemidiscretization error boundsvon Neumann stability
Initial value problems for second-order parabolic equations (35K15) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)
The authors consider the model transient convection diffusion equation NEWLINE\[NEWLINE\frac{\partial\varphi}{\partial t}+u\frac{\partial\varphi}{\partial x}=a\;\frac{\partial^2\varphi}{\partial x^2}+S,\tag{1}NEWLINE\]NEWLINE where \(a\) is a strictly positive, \(u\) (for simplicity of exposition) is constant and \(S(x,t)\) is a smooth source term. For the associated steady state equation NEWLINE\[NEWLINE-a\;\frac{\partial^2\varphi}{\partial x^2}+u\;\frac{\partial\varphi}{\partial x}=S\tag{2}NEWLINE\]NEWLINE a higher-order compact scheme is constructed as follows: applying central differences to (2) and then repeatedly differentiate (2) to replace higher-order derivatives in the truncation error by lower-order derivatives that can be differenced gives a fourth-order compact difference scheme.NEWLINENEWLINENEWLINEThis approach is applied to the problem (1) replacing \(S\) by \(S-\frac{\partial\varphi}{\partial t}\). To the obtained semi-discrete system of ordinary differential equations the authors apply a two-level integration scheme and in terms of Courant and Reynolds (Pedet) numbers consider the von Neumann stability of the difference scheme. The same approach is applied for diffusion in \(2D\).NEWLINENEWLINENEWLINENext the implementation of the von Neumann boundary conditions is investigated. (The case of Dirichlet boundary conditions is not discussed because of its simplicity). A first-order system is also considered and several numerical examples are given. The bibliography contains thirty entries.
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- A high-order compact difference scheme for solving the 1D convection equation
- Schémas compacts d'ordre élevé: application aux problèmes bidimensionnels de diffusion-convection instationnaire II
- A class of higher order compact schemes for the unsteady two-dimensional convection-diffusion equation with variable convection coefficients
- An improved (9,5) higher order compact scheme for the transient two-dimensional convection–diffusion equation
- A compact unconditionally stable finite-difference method for transient one-dimensional advection-diffusion
- A new third-order finite-difference method for transient one-dimensional advection—diffusion
- A single cell high order scheme for the convection-diffusion equation with variable coefficients
- A third-order semi-implicit finite difference method for solving the one-dimensional convection-diffusion equation
- Accelerated solution of nonlinear flow problems using Chebyshev iteration polynomial-based Runge-Kutta recursions
- Compact high-order schemes for the Euler equations
- Difference schemes for hyperbolic equations with high order of accuracy
- Differential-equation-based representation of truncation errors for accurate numerical simulation
- Explictt two-level finite-difference methods for the two-dimensional diffusion equation
- Fast shallow-water equation solvers in latitude-longitude coordinates
- Finite difference methods for solving the two-dimensional advection-diffusion equation
- Formulation and experiments with high‐order compact schemes for nonuniform grids
- High accuracy solutions of incompressible Navier-Stokes equations
- High-order difference schemes for two-dimensional elliptic equations
- Higher order accurate difference solutions of fluid mechanics problems by a compact differencing technique
- High‐order compact scheme for the steady stream‐function vorticity equations
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- Iterative and Parallel Performance of High-Order Compact Systems
- ODE Recursions and Iterative Solvers for Linear Equations
- On convergence and performance of iterative methods with fourth-order compact schemes
- Solutions of the shallow water equations on a sphere
- The stability of numerical boundary treatments for compact high-order finite-difference schemes
- A sixth-order compact finite difference scheme to the numerical solutions of Burgers' equation
- A study of a numerical solution of the steady two dimensions Navier--Stokes equations in a constricted channel problem by a compact fourth order method.
- High order accurate, one-sided finite-difference approximations to concentration gradients at the boundaries, for the simulation of electrochemical reaction-diffusion problems in one-dimensional space geometry.
- Convergence analysis of compact difference schemes for diffusion equation with nonlocal boundary conditions
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
- A compact finite volume method and its extrapolation for elliptic equations with third boundary conditions
- A high-order finite difference method for option valuation
- High order ADI method for solving unsteady convection-diffusion problems
- Recent advances in the study of a fourth-order compact scheme for the one-dimensional biharmonic equation
- Higher order ADI method with completed Richardson extrapolation for solving unsteady convection-diffusion equations
- Numerical solution of multidimensional hyperbolic PDEs using defect correction on adaptive grids
- A new high accuracy two-level implicit off-step discretization for the system of two space dimensional quasi-linear parabolic partial differential equations
- Optimal convergence for time-dependent Stokes equation: a new approach
- An upwind finite volume method for convection-diffusion equations on rectangular mesh
- A high-order compact exponential scheme for the fractional convection-diffusion equation
- Efficient and high accuracy pricing of barrier options under the CEV diffusion
- A new two-level implicit discretization of \(O(k^{2} + kh^{2} + h^{4})\) for the solution of singularly perturbed two-space dimensional non-linear parabolic equations
- High-order ADI scheme for option pricing in stochastic volatility models
- A fourth-order compact ADI method for solving two-dimensional unsteady convection--diffusion problems
- A two-step high-order compact scheme for the Laplacian operator and its implementation in an explicit method for integrating the nonlinear Schrödinger equation
- Fourth-order compact schemes with adaptive time step for monodomain reaction-diffusion equations
- A high-order Padé ADI method for unsteady convection-diffusion equations
- High-order finite difference schemes for differential equations containing higher derivatives
- Higher-order semi compact scheme to solve transient incompressible Navier-Stokes equations
- Fast high-order compact exponential time differencing Runge-Kutta methods for second-order semilinear parabolic equations
- A high-order compact method for nonlinear Black-Scholes option pricing equations of American options
- High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions
- Combined compact difference scheme for the time fractional convection-diffusion equation with variable coefficients
- Numerical investigation of the parabolic mixed derivative diffusion equation via alternating direction implicit methods
- Convergence of compact ADI method for solving linear Schrödinger equations
- A compact finite difference method for the solution of the generalized Burgers-Fisher equation
- A new family of (5,5)CC-4OC schemes applicable for unsteady Navier-Stokes equations
- Compact exponential scheme for the time fractional convection-diffusion reaction equation with variable coefficients
- Compact schemes for anisotropic reaction-diffusion equations with adaptive time step
- A high-order ADI method for parabolic problems with variable coefficients
- High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
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- Schémas compacts d'ordre élevé: application aux problèmes bidimensionnels de diffusion-convection instationnaire II
- Boosting the accuracy of finite difference schemes via optimal time step selection and non-iterative defect correction
- High-order compact finite difference scheme for option pricing in stochastic volatility models
- The conservative splitting high-order compact finite difference scheme for two-dimensional Schrödinger equations
- Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
- Stability and convergence of difference schemes for multi-dimensional parabolic equations with variable coefficients and mixed derivatives
- An exponential high-order compact ADI method for 3D unsteady convection-diffusion problems
- Numerical method for the estimation of the fractional parameters in the fractional mobile/immobile advection-diffusion model
- Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model
- Sixth-order compact finite difference method for solving KdV-Burger equation in the application of wave propagations
- A numerical method for diffusion-convection equation using high-order difference schemes
- An improved (9,5) higher order compact scheme for the transient two-dimensional convection–diffusion equation
- Numerical solutions of two-dimensional unsteady convection-diffusion problems using modified bi-cubic B-spline finite elements
- Compact schemes for acoustics in the frequency domain
- A high order compact scheme for the pure-streamfunction formulation of the Navier-Stokes equations
- A high-order exponential scheme for solving 1D unsteady convection-diffusion equations
- Sixth-order quasi-compact difference scheme for the time-dependent diffusion equation
- Grid adaptation and non-iterative defect correction for improved accuracy of numerical solutions of PDEs
- A novel difference equation approach for the stability and robustness of compact schemes for variable coefficient PDEs
- Iterative methods and high-order difference schemes for 2D elliptic problems with mixed derivative
- Fourth-order semi-compact scheme for flow past a rotating and translating cylinder
- Numerical pricing of options using high-order compact finite difference schemes
- High-order compact boundary value method for the solution of unsteady convection-diffusion problems
- Two-level compact implicit schemes for three-dimensional parabolic problems
- Numerical modelling of linear and nonlinear diffusion equations by compact finite difference method
- High-order compact ADI methods for parabolic equations
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