High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions

DOI10.1137/140974833zbMath1326.65105arXiv1506.06711OpenAlexW3103325468MaRDI QIDQ2945680

Christof Heuer, Bertram Düring

Publication date: 14 September 2015

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.06711

zbMATH Keywords

stabilityhigh-order compact schemeparabolic partial differential equationmixed derivatives

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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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