PDE-W-methods for parabolic problems with mixed derivatives

DOI10.1007/s11075-017-0408-8zbMath1447.65060OpenAlexW2755560623MaRDI QIDQ1652804

S. González-Pinto, Ernst Hairer, D. Hernández-Abreu, S. Pérez-Rodríguez

Publication date: 16 July 2018

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

Full work available at URL: https://doi.org/10.1007/s11075-017-0408-8

zbMATH Keywords

stability analysisapproximate matrix factorizationparabolic problemsmixed derivativesW-methodsADI approach

Mathematics Subject Classification ID

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) Finite difference methods for boundary value problems involving PDEs (65N06) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Direct numerical methods for linear systems and matrix inversion (65F05) Second-order parabolic equations (35K10) Numerical methods for stiff equations (65L04)

Related Items

A unified formulation of splitting-based implicit time integration schemes ⋮ AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model ⋮ AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models ⋮ AMF-type W-methods for Parabolic Problems with Mixed Derivatives ⋮ W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms

Uses Software

• RODAS

Cites Work

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