Extension of high-order compact schemes to time-dependent problems

From MaRDI portal
Publication:2762702

DOI10.1002/num.1032zbMath0998.65101OpenAlexW1985037379MaRDI QIDQ2762702

William F. Spotz, Graham F. Carey

Publication date: 24 November 2002

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.1032




Related Items (58)

A high-order compact method for nonlinear Black–Scholes option pricing equations of American optionsHigh order ADI method for solving unsteady convection-diffusion problemsConvergence of compact ADI method for solving linear Schrödinger equationsCombined compact difference scheme for the time fractional convection-diffusion equation with variable coefficientsFast high-order compact exponential time differencing Runge-Kutta methods for second-order semilinear parabolic equationsNumerical investigation of the parabolic mixed derivative diffusion equation via alternating direction implicit methodsA 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 equationsConvergence analysis of compact difference schemes for diffusion equation with nonlocal boundary conditionsIterative methods and high-order difference schemes for 2D elliptic problems with mixed derivativeA new family of (5,5)CC-4OC schemes applicable for unsteady Navier-Stokes equationsCompact exponential scheme for the time fractional convection-diffusion reaction equation with variable coefficientsRBF-FD schemes for option valuation under models with price-dependent and stochastic volatilityThe Conservative Splitting High-Order Compact Finite Difference Scheme for Two-Dimensional Schrödinger EquationsA compact finite volume method and its extrapolation for elliptic equations with third boundary conditionsCompact schemes for acoustics in the frequency domainHigh-order ADI scheme for option pricing in stochastic volatility modelsFourth-order semi-compact scheme for flow past a rotating and translating cylinderHigh-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space DimensionsRecent advances in the study of a fourth-order compact scheme for the one-dimensional biharmonic equationA high order compact scheme for the pure-streamfunction formulation of the Navier-Stokes equationsA high-order exponential scheme for solving 1D unsteady convection-diffusion equationsBoosting the accuracy of finite difference schemes via optimal time step selection and non-iterative defect correctionAn upwind finite volume method for convection-diffusion equations on rectangular meshA fourth-order compact ADI method for solving two-dimensional unsteady convection--diffusion problemsA study of a numerical solution of the steady two dimensions Navier--Stokes equations in a constricted channel problem by a compact fourth order method.A high-order finite difference method for option valuationHigh 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.High-order compact finite difference scheme for option pricing in stochastic volatility modelsSparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility ModelsA two-step high-order compact scheme for the Laplacian operator and its implementation in an explicit method for integrating the nonlinear Schrödinger equationNumerical pricing of options using high-order compact finite difference schemesGrid adaptation and non-iterative defect correction for improved accuracy of numerical solutions of PDEsAn exponential high‐order compact ADI method for 3D unsteady convection–diffusion problemsStability and convergence of difference schemes for multi-dimensional parabolic equations with variable coefficients and mixed derivativesFourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks modelUnnamed ItemCompact schemes for anisotropic reaction-diffusion equations with adaptive time stepHigh-order compact boundary value method for the solution of unsteady convection-diffusion problemsA high-order compact exponential scheme for the fractional convection-diffusion equationEfficient and high accuracy pricing of barrier options under the CEV diffusionFourth-order compact schemes with adaptive time step for monodomain reaction-diffusion equationsNumerical solutions of two-dimensional unsteady convection–diffusion problems using modified bi-cubicB-spline finite elementsHigher order ADI method with completed Richardson extrapolation for solving unsteady convection-diffusion equationsA numerical method for diffusion-convection equation using high-order difference schemesA high-order Padé ADI method for unsteady convection-diffusion equationsHigh-order finite difference schemes for differential equations containing higher derivativesNumerical solution of multidimensional hyperbolic PDEs using defect correction on adaptive gridsTwo-level compact implicit schemes for three-dimensional parabolic problemsA new high accuracy two-level implicit off-step discretization for the system of two space dimensional quasi-linear parabolic partial differential equationsNumerical modelling of linear and nonlinear diffusion equations by compact finite difference methodHigher-order semi compact scheme to solve transient incompressible Navier-Stokes equationsA high-order ADI method for parabolic problems with variable coefficientsHigh-order compact ADI methods for parabolic equationsA sixth-order compact finite difference scheme to the numerical solutions of Burgers' equationOptimal convergence for time-dependent Stokes equation: a new approachHigh-order compact scheme for solving nonlinear Black–Scholes equation with transaction costA compact finite difference method for the solution of the generalized Burgersâ Fisher equationNumerical method for the estimation of the fractional parameters in the fractional mobile/immobile advection–diffusion model



Cites Work


This page was built for publication: Extension of high-order compact schemes to time-dependent problems