An alternating-direction implicit scheme for parabolic equations with mixed derivatives
From MaRDI portal
Publication:1108753
DOI10.1016/0898-1221(88)90150-2zbMath0654.65072MaRDI QIDQ1108753
Publication date: 1988
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0898-1221(88)90150-2
conditional stability; unconditional stability; ADI schemes; mixed derivatives; alternating-direction implicit scheme
35K20: Initial-boundary value problems for second-order parabolic equations
65N12: Stability and convergence of numerical methods for boundary value problems involving PDEs
65F10: Iterative numerical methods for linear systems
65N22: Numerical solution of discretized equations for boundary value problems involving PDEs
Related Items
Unnamed Item, Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model, Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results, Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach, A numerical scheme for particle-laden thin film flow in two dimensions, Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term, A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility, Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility, Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms, Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term, On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility, An alternating direction implicit scheme for parabolic systems of partial differential equations, Adaptive \(\theta \)-methods for pricing American options, Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms, On some numerical methods for solving 2D radial flow towards an oil well, ADI schemes for higher-order nonlinear diffusion equations., A robust spectral method for solving Heston's model, Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms, High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique, HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Alternating direction methods for three space variables
- A general formulation of alternating direction methods. I: Parabolic and hyperbolic problems
- On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
- Survey of the stability of linear finite difference equations
- Convergence rate estimate in L2 of projection-difference schemes for parabolic equations
- The rate of convergence of the projection-difference scheme with a splitting operator for parabolic equations
- Une méthode de pas fractionnaires adaptée au traitement de dérivées croisées
- On the Stability of Parabolic Difference Schemes
- Difference schemes with a separable operator for general second order parabolic equations with variable coefficients
- Alternating direction methods for parabolic equations in two space dimensions with a mixed derivative
- Economical difference schemes for parabolic equations with mixed derivatives
- Some recent methods for the numerical solution of time-dependent partial differential equations
- A New Computational Procedure for A.D.I. Methods
