W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms (Q5014042)

scientific article; zbMATH DE number 7438774

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English	W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms	scientific article; zbMATH DE number 7438774

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instance of

scholarly article

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title

W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms (English)

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Rosenbrock—Wanner–Type Methods

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publication date

3 December 2021

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/978-3-030-76810-2_4

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cites work

An alternating-direction implicit scheme for parabolic equations with mixed derivatives

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On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables

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High-Order ADI Schemes for Convection-Diffusion Equations with Mixed Derivative Terms

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High-order ADI scheme for option pricing in stochastic volatility models

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Operator splitting and approximate factorization for taxis-diffusion-reaction models

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Rosenbrock-type methods with inexact AMF for the time integration of advection-diffusion-reaction PDEs

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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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W-methods to stabilize standard explicit Runge-Kutta methods in the time integration of advection-diffusion-reaction PDEs

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AMF-type W-methods for Parabolic Problems with Mixed Derivatives

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PDE-W-methods for parabolic problems with mixed derivatives

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Q4714145

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Solving Ordinary Differential Equations I

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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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Accuracy and stability of splitting with stabilizing corrections

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Q4421310

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ADI finite difference schemes for option pricing in the Heston model with correlation

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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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Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term

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Generalized ROW-type methods for solving semi-explicit DAEs of index-1

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W-methods in optimal control

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The Numerical Solution of Parabolic and Elliptic Differential Equations

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High-order \(W\)-methods

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New Rosenbrock W-methods of order 3 for partial differential algebraic equations of index

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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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Approximate factorization for time-dependent partial differential equations

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High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique

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Identifiers

zbMATH Open document ID

1477.65151

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DOI

10.1007/978-3-030-76810-2_4

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5014042