Error splitting preservation for high order finite difference schemes in the combination technique

DOI10.4208/NMTMA.2017.M1511MaRDI QIDQ3176041zbMATH OpenOpenAlexFDO

Authors

Publication date 18 July 2018

Published in Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/nmtma.2017.m1511

zbMATH Keywords

finite difference schemesmultivariate interpolationsparse gridscombination technique

Mathematics Subject Classification ID

Numerical interpolation (65D05) Finite difference methods for boundary value problems involving PDEs (65N06)

Recommendations

• Analysis of linear difference schemes in the sparse grid combination technique
• scientific article; zbMATH DE number 440658
• On the convergence of the combination technique
• The combination technique and some generalisations
• High order combination technique for the efficient pricing of basket options

Cited in

(3)

• AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models
• Remarks on High-Resolution Split Schemes Computation
• Analysis of linear difference schemes in the sparse grid combination technique

This page was built for publication: Error splitting preservation for high order finite difference schemes in the combination technique

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3176041)