Quadratic spline collocation for one-dimensional linear parabolic partial differential equations

DOI10.1007/s11075-009-9317-9zbMath1189.65235OpenAlexW3123421850MaRDI QIDQ964216

Christina C. Christara, Duy Minh Dang, Tong Chen

Publication date: 15 April 2010

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-009-9317-9

zbMATH Keywords

stabilityconvergencefinite difference methodnumerical experimentscollocationlinear parabolic equationAmerican put optionquadratic splines

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) 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) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Uses Software

• BACOL

Cites Work

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