Convergence analysis of the Modified Craig–Sneyd scheme for two-dimensional convection–diffusion equations with nonsmooth initial data

DOI10.1093/IMANUM/DRW028zbMath1433.65169arXiv1508.04296OpenAlexW2963086370MaRDI QIDQ4683771

Publication date: 26 September 2018

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.04296

zbMATH Keywords

convergence analysis convection-diffusion equations ADI splitting schemes Rannacher time stepping

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Reaction-diffusion equations (35K57) 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) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Numerical methods for stiff equations (65L04)

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Analysis of Quantization Error in Financial Pricing via Finite Difference Methods ⋮ Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term ⋮ Finite difference/spectral approximation for a time-space fractional equation on two and three space dimensions ⋮ Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method ⋮ Error analysis of a fully discrete scheme for time fractional Schrödinger equation with initial singularity

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