Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
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Publication:857022
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Cited in
(64)- A combined mixed finite element ADI scheme for solving Richards' equation with mixed derivatives on irregular grids
- Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
- A velocity-diffusion method for a Lotka-Volterra system with nonlinear cross and self-diffusion
- An alternating-direction implicit scheme for parabolic equations with mixed derivatives
- On the application of ADI method to numerical simulation of the Marangoni convection controlling in liquid bridge model
- Improvement on stability and convergence of ADI schemes
- Fourth order compact schemes for variable coefficient parabolic problems with mixed derivatives
- A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives
- ADI schemes for valuing European options under the Bates model
- An alternating direction implicit scheme for parabolic equations with mixed derivative and convective terms
- Pseudospectral roaming contour integral methods for convection-diffusion equations
- A second order accurate fixed-grid method for multi-dimensional Stefan problem with moving phase change materials
- Competition, trait variance dynamics, and the evolution of a species' range
- Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU
- Compact higher order discretization of 3D generalized convection diffusion equation with variable coefficients in nonuniform grids
- Convergence and stability of a BSLM for advection-diffusion models with Dirichlet boundary conditions
- Modified Douglas splitting methods for reaction-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
- Lagged diffusivity method for the solution of nonlinear diffusion convection problems with finite differences
- Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms
- An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids
- High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique
- Efficient solution of structural default models with correlated jumps and mutual obligations
- Efficient and stable numerical solution of the Heston-Cox-Ingersoll-Ross partial differential equation by alternating direction implicit finite difference schemes
- Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
- Alternating direction explicit methods for convection diffusion equations
- HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs
- Some new results related to -stability
- Numerical investigation of the parabolic mixed derivative diffusion equation via alternating direction implicit methods
- A finite volume-alternating direction implicit approach for the calibration of stochastic local volatility models
- Optimal weak static hedging of equity and credit risk using derivatives
- ADI splitting schemes for a fourth-order nonlinear partial differential equation from image processing
- Variable step-size fractional step Runge-Kutta methods for time-dependent partial differential equations
- Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
- Numerical Study of Splitting Methods for American Option Valuation
- High-order-compact ADI schemes for pricing basket options in the combination technique
- ADI schemes for pricing American options under the Heston model
- LSV models with stochastic interest rates and correlated jumps
- 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
- Numerical analysis for spread option pricing model of markets with finite liquidity: first-order feedback model
- Numerical inverse Laplace transform for convection-diffusion equations
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
- Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
- On the stability of alternating‐direction explicit methods for advection‐diffusion equations
- Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term
- On multistep stabilizing correction splitting methods with applications to the Heston model
- High-order ADI schemes for convection-diffusion equations with mixed derivative terms
- ADI finite difference schemes for option pricing in the Heston model with correlation
- Model Order Reduction in Contour Integral Methods for Parametric PDEs
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- Optimal mix among PAYGO, EET and individual savings
- Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility
- Stability and convergence of BDF2-ADI schemes with variable step sizes for parabolic equation
- Improved accuracy for time-splitting methods for the numerical solution of parabolic equations
- A note on the numerical approximation of Greeks for American-style options
- An ADI scheme for convection diffusion equation with variable coefficients on irregular domain
- New solvable stochastic volatility models for pricing volatility derivatives
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
- Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term
- Contractivity of domain decomposition splitting methods for nonlinear parabolic problems
- Locally linearized fractional step methods for nonlinear parabolic problems
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