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

DOI10.4208/NMTMA.2017.M1511zbMATH Open1399.65295OpenAlexW2709506240MaRDI QIDQ3176041FDOQ3176041

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

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

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)

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)