Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms

DOI10.1016/J.APNUM.2008.03.016zbMATH Open1161.65073OpenAlexW2092439997MaRDI QIDQ1007389FDOQ1007389

Karel J. in 't Hout, Bruno D. Welfert

Publication date: 20 March 2009

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2008.03.016

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zbMATH Keywords

finite difference methodinitial boundary value problemsNeumann stability analysisADI splitting schemediffusion equitions

Mathematics Subject Classification ID

Second-order parabolic equations (35K10) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Cites Work

• On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
• Title not available (Why is that?)
• Title not available (Why is that?)
• Alternating direction methods for three space variables
• Accuracy and stability of splitting with stabilizing corrections
• Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
• An alternating-direction implicit scheme for parabolic equations with mixed derivatives

Cited In (55)

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• On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model
• The simulated cooling of the hot-rolled structural steel sections
• A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives
• The Parareal Algorithm and the Sparse Grid Combination Technique in the Application of the Heston Model
• Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes
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• Convergence in the maximum norm of ADI-type methods for parabolic problems
• A robust spectral method for solving Heston's model
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• LOCALIZED RADIAL BASIS FUNCTIONS FOR NO-ARBITRAGE PRICING OF OPTIONS UNDER STOCHASTIC ALPHA–BETA–RHO DYNAMICS
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• Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms
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• BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems
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• Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk
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• W-methods to stabilize standard explicit Runge-Kutta methods in the time integration of advection-diffusion-reaction PDEs
• A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models
• Efficient exposure computation by risk factor decomposition
• Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
• ADI Schemes for Pricing American Options under the Heston Model
• AMF-type W-methods for Parabolic Problems with Mixed Derivatives
• A Parallel Cyclic Reduction Algorithm for Pentadiagonal Systems with Application to a Convection-Dominated Heston PDE
• Lagged diffusivity method for the solution of nonlinear diffusion convection problems with finite differences
• A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme
• Numerical Study of Splitting Methods for American Option Valuation
• ADI splitting schemes for a fourth-order nonlinear partial differential equation from image processing
• Numerical inverse Laplace transform for convection-diffusion equations
• ADI finite difference schemes for option pricing in the Heston model with correlation
• Improved accuracy for time-splitting methods for the numerical solution of parabolic equations
• Spectral direction splitting methods for two-dimensional space fractional diffusion equations
• W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms
• Contractivity of domain decomposition splitting methods for nonlinear parabolic problems
• Locally linearized fractional step methods for nonlinear parabolic problems
• Unconditionally stable ADI scheme of higher-order for linear hyperbolic equations
• Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms

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