AMF-type W-methods for parabolic problems with mixed derivatives
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Publication:4683933
DOI10.1137/17M1163050zbMATH Open1397.65159WikidataQ129238287 ScholiaQ129238287MaRDI QIDQ4683933FDOQ4683933
Authors: S. González-Pinto, D. Hernández-Abreu, S. Pérez-Rodríguez, Ernst Hairer 
Publication date: 26 September 2018
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
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- Convergence in \(\ell_2\) and \(\ell_\infty\) norm of one-stage AMF-W-methods for parabolic problems
approximate matrix factorizationunconditional stabilityHeston modelparabolic PDEstime integrationalternating direction implicit schemesmixed derivativesW-methods
Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)
Cites Work
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- W-methods in optimal control
- High-order ADI scheme for option pricing in stochastic volatility models
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- High-order \(W\)-methods
- Generalized ROW-type methods for solving semi-explicit DAEs of index-1
Cited In (17)
- AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models
- A comparison of one-step and two-step W-methods and peer methods with approximate matrix factorization
- On approximate matrix factorization and TASE W-methods for the time integration of parabolic partial differential equations
- Stability and convergence of BDF2-ADI schemes with variable step sizes for parabolic equation
- PDEs for pricing interest rate derivatives under the new generalized forward market model (FMM)
- Convergence in the maximum norm of ADI-type methods for parabolic problems
- A unified formulation of splitting-based implicit time integration schemes
- Operator splitting schemes for the two-asset Merton jump-diffusion model
- AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model
- Alternating directions implicit integration in a general linear method framework
- PDE-W-methods for parabolic problems with mixed derivatives
- Convergence in \(\ell_2\) and \(\ell_\infty\) norm of one-stage AMF-W-methods for parabolic problems
- Implicit-explicit Runge-Kutta-Rosenbrock methods with error analysis for nonlinear stiff differential equations
- Generalized TASE-RK methods for stiff problems
- High order PDE-convergence of AMF-W methods for 2D-linear parabolic problems
- Boundary corrections on multi-dimensional PDEs
- W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms
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