On approximate matrix factorization and TASE W-methods for the time integration of parabolic partial differential equations
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Publication:6571378
Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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)
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Cites work
- scientific article; zbMATH DE number 107583 (Why is no real title available?)
- scientific article; zbMATH DE number 1967777 (Why is no real title available?)
- scientific article; zbMATH DE number 940566 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A family of three-stage third order AMF-W-methods for the time integration of advection diffusion reaction PDEs.
- A note on the stability of time-accurate and highly-stable explicit operators for stiff differential equations
- ADI finite difference schemes for option pricing in the Heston model with correlation
- AMF-type W-methods for parabolic problems with mixed derivatives
- An Attempt to Avoid Exact Jacobian and Nonlinear Equations in the Numerical Solution of Stiff Differential Equations
- Approximate factorization for time-dependent partial differential equations
- Convergence in the maximum norm of ADI-type methods for parabolic problems
- Generalized TASE-RK methods for stiff problems
- High order PDE-convergence of AMF-W methods for 2D-linear parabolic problems
- New Rosenbrock W-methods of order 3 for partial differential algebraic equations of index
- Numerical Methods for Ordinary Differential Equations
- On a generalization of time-accurate and highly-stable explicit operators for stiff problems
- PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
- RKC: An explicit solver for parabolic PDEs
- Singly TASE operators for the numerical solution of stiff differential equations by explicit Runge-Kutta schemes
- Solving Ordinary Differential Equations I
- Time-accurate and highly-stable explicit operators for stiff differential equations
- Time-accurate and highly-stable explicit peer methods for stiff differential problems
- W-methods to stabilize standard explicit Runge-Kutta methods in the time integration of advection-diffusion-reaction PDEs
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