Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms

DOI10.1016/j.apnum.2013.07.003zbMath1302.65194arXiv1205.1163OpenAlexW2028789893MaRDI QIDQ2448368

Yanyan Li

Publication date: 30 April 2014

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

Full work available at URL: https://arxiv.org/abs/1205.1163

zbMATH Keywords

time-discretizationAlternating Direction Implicit schemes stabilitymultidimensional diffusion equations

Mathematics Subject Classification ID

Stability in context of PDEs (35B35) Initial-boundary value problems for second-order parabolic equations (35K20) 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) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

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Cites Work

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• Alternating direction methods for three space variables
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• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
• An alternating-direction implicit scheme for parabolic equations with mixed derivatives
• One-step splitting methods for semi-discrete parabolic equations
• Accuracy and stability of splitting with stabilizing corrections
• Stochastic calculus for finance. II: Continuous-time models.
• Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes
• On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
• Matrix Analysis
• Alternating direction methods for parabolic equations in two space dimensions with a mixed derivative

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