Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms

DOI10.1016/J.APNUM.2005.11.011MaRDI QIDQ857022zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

numerical examplesconvection-diffusion equationsinitial-boundary value problemsFourier transformationvon Neumann stability analysisfinite difference discretizationsalternating direction implicit (ADI) schemes

Mathematics Subject Classification ID

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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Cites work

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• On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
• On the contractivity of implicit-explicit linear multistep methods
• One-step splitting methods for semi-discrete parabolic equations
• Stability of approximate factorization with \(\theta\)-methods
• Time integration of the shallow water equations in spherical geometry
• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms

Cited in

(62)

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• Pseudospectral roaming contour integral methods for convection-diffusion equations
• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
• A note on the numerical approximation of Greeks for American-style options
• Some new results related to -stability
• A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives
• New solvable stochastic volatility models for pricing volatility derivatives
• Stability and convergence of BDF2-ADI schemes with variable step sizes for parabolic equation
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• A parallel cyclic reduction algorithm for pentadiagonal systems with application to a convection-dominated Heston PDE
• A case study on pricing foreign exchange options using the modified Craig-Sneyd ADI scheme
• Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
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• A combined mixed finite element ADI scheme for solving Richards' equation with mixed derivatives on irregular grids
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• HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs
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• High-order ADI scheme for option pricing in stochastic volatility models
• LSV models with stochastic interest rates and correlated jumps
• A second order accurate fixed-grid method for multi-dimensional Stefan problem with moving phase change materials
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• Optimal weak static hedging of equity and credit risk using derivatives
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• Competition, trait variance dynamics, and the evolution of a species' range
• Model Order Reduction in Contour Integral Methods for Parametric PDEs
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• 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
• ADI splitting schemes for a fourth-order nonlinear partial differential equation from image processing
• Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
• Numerical Study of Splitting Methods for American Option Valuation
• Improved accuracy for time-splitting methods for the numerical solution of parabolic equations
• Numerical inverse Laplace transform for convection-diffusion equations
• ADI finite difference schemes for option pricing in the Heston model with correlation
• Numerical analysis for spread option pricing model of markets with finite liquidity: first-order feedback model
• Optimal mix among PAYGO, EET and individual savings
• Contractivity of domain decomposition splitting methods for nonlinear parabolic problems
• Locally linearized fractional step methods for nonlinear parabolic problems

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