A nonuniform grid method for solving PDE's

DOI10.1016/S0165-1889(98)00020-7zbMath0945.65100MaRDI QIDQ1274220

Ivailo Izvorski

Publication date: 12 January 1999

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

finite difference methodconstant coefficientsvariable step-size algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Initial value problems for second-order parabolic equations (35K15) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)

Related Items (1)

Solving finite difference schemes arising in trivariate option pricing.

Cites Work

• Alternating direction methods for parabolic equations in two space dimensions with a mixed derivative

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