Smoothing with positivity-preserving Padé schemes for parabolic problems with nonsmooth data
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Publication:4680486
DOI10.1002/NUM.20039zbMATH Open1073.65104OpenAlexW2011696386MaRDI QIDQ4680486FDOQ4680486
Authors: Mohammad Siddique, B. A. Wade, A. Q. M. Khaliq, M. Yousuf 
Publication date: 1 June 2005
Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/num.20039
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Cited In (15)
- Smoothing of Crank-Nicolson scheme for the two-dimensional diffusion with an integral condition
- A class of fourth-order Padé schemes for fractional exotic options pricing model
- A variable-\(\theta\) method for parabolic problems of nonsmooth data
- A hybrid fourth order time stepping method for space distributed order nonlinear reaction-diffusion equations
- Smoothing schemes for reaction-diffusion systems with nonsmooth data
- A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
- SERK2v3: Solving mildly stiff nonlinear partial differential equations
- A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion
- Fourth order positively smoothed Padé schemes for parabolic partial differential equations with nonlocal boundary conditions
- On the class of high order time stepping schemes based on Padé approximations for the numerical solution of Burgers' equation
- LSV models with stochastic interest rates and correlated jumps
- Time discretization and stability regions for dissipative-dispersive Kuramoto-Sivashinsky equation arising in turbulent gas flow over laminar liquid
- An ETD Crank-Nicolson method for reaction-diffusion systems
- On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
- High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
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