Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
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Publication:857022
DOI10.1016/J.APNUM.2005.11.011zbMATH Open1175.65104OpenAlexW1976557814MaRDI QIDQ857022FDOQ857022
Authors: Bruno D. Welfert, Karel J. in 't Hout 
Publication date: 14 December 2006
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2005.11.011
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numerical examplesconvection-diffusion equationsinitial-boundary value problemsFourier transformationvon Neumann stability analysisfinite difference discretizationsalternating direction implicit (ADI) schemes
Initial value problems for second-order parabolic equations (35K15) 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)
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- Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
- Some new results related to \(\alpha\)-stability
- A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives
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- A finite volume-alternating direction implicit approach for the calibration of stochastic local volatility models
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- Compact higher order discretization of 3D generalized convection diffusion equation with variable coefficients in nonuniform grids
- An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids
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- Variable step-size fractional step Runge-Kutta methods for time-dependent partial differential equations
- Numerical investigation of the parabolic mixed derivative diffusion equation via alternating direction implicit methods
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- Modified Douglas splitting methods for reaction-diffusion equations
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- A combined mixed finite element ADI scheme for solving Richards' equation with mixed derivatives on irregular grids
- HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs
- Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term
- Alternating direction explicit methods for convection diffusion equations
- High-order-compact ADI schemes for pricing basket options in the combination technique
- LSV models with stochastic interest rates and correlated jumps
- A velocity-diffusion method for a Lotka-Volterra system with nonlinear cross and self-diffusion
- High-order ADI scheme for option pricing in stochastic volatility models
- A second order accurate fixed-grid method for multi-dimensional Stefan problem with moving phase change materials
- An alternating-direction implicit scheme for parabolic equations with mixed derivatives
- Optimal weak static hedging of equity and credit risk using derivatives
- Model Order Reduction in Contour Integral Methods for Parametric PDEs
- Competition, trait variance dynamics, and the evolution of a species' range
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
- On the application of ADI method to numerical simulation of the Marangoni convection controlling in liquid bridge model
- Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility
- Lagged diffusivity method for the solution of nonlinear diffusion convection problems with finite differences
- Fourth order compact schemes for variable coefficient parabolic problems with mixed derivatives
- Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
- Numerical Study of Splitting Methods for American Option Valuation
- ADI splitting schemes for a fourth-order nonlinear partial differential equation from image processing
- Numerical inverse Laplace transform for convection-diffusion equations
- ADI finite difference schemes for option pricing in the Heston model with correlation
- Improved accuracy for time-splitting methods for the numerical solution of parabolic equations
- Numerical analysis for spread option pricing model of markets with finite liquidity: first-order feedback model
- Contractivity of domain decomposition splitting methods for nonlinear parabolic problems
- Locally linearized fractional step methods for nonlinear parabolic problems
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