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

DOI10.1002/NUM.1032zbMATH Open0998.65101OpenAlexW1985037379MaRDI QIDQ2762702FDOQ2762702

Authors: W. 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

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zbMATH Keywords

numerical exampleshigh-order methodsdifference schemeconvection diffusion equationvon Neumann stabilitycompact stencilssemidiscretization error bounds

Mathematics Subject Classification ID

Initial value problems for second-order parabolic equations (35K15) 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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

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Cited In (62)

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• The conservative splitting high-order compact finite difference scheme for two-dimensional Schrödinger equations
• Sixth-order quasi-compact difference scheme for the time-dependent diffusion equation
• An exponential high-order compact ADI method for 3D unsteady convection-diffusion problems
• Convergence of compact ADI method for solving linear Schrödinger equations
• Combined compact difference scheme for the time fractional convection-diffusion equation with variable coefficients
• Compact exponential scheme for the time fractional convection-diffusion reaction equation with variable coefficients
• High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
• A high-order compact method for nonlinear Black-Scholes option pricing equations of American options
• Numerical pricing of options using high-order compact finite difference schemes
• A high-order finite difference method for option valuation
• A numerical method for diffusion-convection equation using high-order difference schemes
• Compact schemes for acoustics in the frequency domain
• Fast high-order compact exponential time differencing Runge-Kutta methods for second-order semilinear parabolic equations
• Two-level compact implicit schemes for three-dimensional parabolic problems
• A study of a numerical solution of the steady two dimensions Navier--Stokes equations in a constricted channel problem by a compact fourth order method.
• Recent advances in the study of a fourth-order compact scheme for the one-dimensional biharmonic equation
• Boosting the accuracy of finite difference schemes via optimal time step selection and non-iterative defect correction
• Efficient and high accuracy pricing of barrier options under the CEV diffusion
• Numerical solution of multidimensional hyperbolic PDEs using defect correction on adaptive grids
• Numerical modelling of linear and nonlinear diffusion equations by compact finite difference method
• High-order compact ADI methods for parabolic equations
• Iterative methods and high-order difference schemes for 2D elliptic problems with mixed derivative
• High-order compact finite difference scheme for option pricing in stochastic volatility models
• A new high accuracy two-level implicit off-step discretization for the system of two space dimensional quasi-linear parabolic partial differential equations
• Higher order ADI method with completed Richardson extrapolation for solving unsteady convection-diffusion equations
• Convergence analysis of compact difference schemes for diffusion equation with nonlocal boundary conditions
• An upwind finite volume method for convection-diffusion equations on rectangular mesh
• Fourth-order semi-compact scheme for flow past a rotating and translating cylinder
• Numerical investigation of the parabolic mixed derivative diffusion equation via alternating direction implicit methods
• A sixth-order compact finite difference scheme to the numerical solutions of Burgers' equation
• An improved (9,5) higher order compact scheme for the transient two-dimensional convection–diffusion equation
• A high order compact scheme for the pure-streamfunction formulation of the Navier-Stokes equations
• A high-order exponential scheme for solving 1D unsteady convection-diffusion equations
• RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
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• A high-order compact exponential scheme for the fractional convection-diffusion equation
• A two-step high-order compact scheme for the Laplacian operator and its implementation in an explicit method for integrating the nonlinear Schrödinger equation
• Numerical method for the estimation of the fractional parameters in the fractional mobile/immobile advection-diffusion model
• Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model
• High 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.
• Optimal convergence for time-dependent Stokes equation: a new approach
• Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
• A 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 equations
• Stability and convergence of difference schemes for multi-dimensional parabolic equations with variable coefficients and mixed derivatives
• Grid adaptation and non-iterative defect correction for improved accuracy of numerical solutions of PDEs
• A high-order Padé ADI method for unsteady convection-diffusion equations

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