Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term

DOI10.1016/J.CAM.2015.09.023MaRDI QIDQ898943zbMATH OpenOpenAlexFDO

Authors Maarten Wyns, Karel J. in 't Hout

Publication date 21 December 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.1959

zbMATH Keywords

ADI splitting schemesconvection-diffusion equationsconvergence analysisinitial-boundary value problems

Mathematics Subject Classification ID

Numerical methods for stiff equations (65L04) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

Abstract: We consider the Modified Craig-Sneyd (MCS) scheme which forms a prominent time stepping method of the Alternating Direction Implicit type for multidimensional time-dependent convection-diffusion equations with mixed spatial derivative terms. Such equations arise often, notably, in the field of financial mathematics. In this paper a first convergence theorem for the MCS scheme is proved where the obtained bound on the global temporal discretization errors has the essential property that it is independent of the (arbitrarily small) spatial mesh width from the semidiscretization. The obtained theorem is directly pertinent to two-dimensional convection-diffusion equations with mixed derivative term. Numerical experiments are provided that illustrate our result.

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Cited in

(22)

• PDE-W-methods for 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
• A new matrix method for solving two-dimensional time-dependent diffusion equations with Dirichlet boundary conditions
• Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
• Power boundedness in the maximum norm of stability matrices for ADI methods
• High order PDE-convergence of AMF-W methods for 2D-linear parabolic problems
• Operator splitting schemes for the two-asset Merton jump-diffusion model
• Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU
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• AMF-type W-methods for parabolic problems with mixed derivatives
• Convergence in \(\ell_2\) and \(\ell_\infty\) norm of one-stage AMF-W-methods for parabolic problems
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• W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms
• 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
• PDE-convergence in euclidean norm of AMF-W methods for multidimensional linear parabolic problems
• Boundary corrections for splitting methods in the time integration of multidimensional parabolic problems

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