High-order ADI schemes for convection-diffusion equations with mixed derivative terms

DOI10.1007/978-3-319-01601-6_17MaRDI QIDQ5745784zbMATH OpenOpenAlexFDO

Authors Bertram Düring, Michel Fournié, Alain Rigal

Publication date 31 January 2014

Published in Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1505.07621

zbMATH Keywords

alternating direction implicit schemesconvection-diffusion equationsfinite difference schemeinitial boundary value problemsnumerical examplesstability

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) 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)

Abstract: We present new high-order Alternating Direction Implicit (ADI) schemes for the numerical solution of initial-boundary value problems for convection-diffusion equations with mixed derivative terms. Our approach is based on the unconditionally stable ADI scheme proposed by Hundsdorfer. Different numerical discretizations which lead to schemes which are fourth-order accurate in space and second-order accurate in time are discussed.

Recommendations

• Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
• High order ADI method for solving unsteady convection-diffusion problems
• A high-order Padé ADI method for unsteady convection-diffusion equations
• A hybrid Padé ADI scheme of higher-order for convection-diffusion problems
• High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique

Cited in

(21)

• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
• Near conserving energy numerical schemes for two-dimensional coupled seismic wave equations
• ADI schemes for higher-order nonlinear diffusion equations.
• Higher order ADI method with completed Richardson extrapolation for solving unsteady convection-diffusion equations
• High-order ADI scheme for option pricing in stochastic volatility models
• High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance
• High-order full discretization for anisotropic wave equations
• High-order compact finite difference scheme for option pricing in stochastic volatility jump models
• High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique
• Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
• AMF-type W-methods for parabolic problems with mixed derivatives
• A hybrid Padé ADI scheme of higher-order for convection-diffusion problems
• W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms
• Alternating direction implicit orthogonal spline collocation on some non-rectangular regions with inconsistent partitions
• Manycore algorithms for batch scalar and block tridiagonal solvers
• Multi-currency credit default swaps
• A rational high-order compact ADI method for unsteady convection-diffusion equations
• High order ADI splitting scheme for stochastic volatility model with jump
• An ADI scheme for convection diffusion equation with variable coefficients on irregular domain
• Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
• Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term

This page was built for publication: High-order ADI schemes for convection-diffusion equations with mixed derivative terms

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5745784)