AMF-type W-methods for Parabolic Problems with Mixed Derivatives

DOI10.1137/17M1163050zbMath1397.65159MaRDI QIDQ4683933

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

Publication date: 26 September 2018

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

unconditional stabilityapproximate matrix factorizationtime integrationalternating direction implicit schemesHeston modelparabolic PDEsmixed derivativesW-methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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)

Related Items (11)

A unified formulation of splitting-based implicit time integration schemes ⋮ Implicit-Explicit Runge-Kutta-Rosenbrock Methods with Error Analysis for Nonlinear Stiff Differential Equations ⋮ Generalized TASE-RK methods for stiff problems ⋮ Operator splitting schemes for the two-asset Merton jump-diffusion model ⋮ AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model ⋮ A comparison of one-step and two-step W-methods and peer methods with approximate matrix factorization ⋮ Alternating directions implicit integration in a general linear method framework ⋮ AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models ⋮ Convergence in the maximum norm of ADI-type methods for parabolic problems ⋮ Convergence in $\ell_2$ and $\ell_\infty$ Norm of One-Stage AMF-W-Methods for Parabolic Problems ⋮ W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms

Uses Software

• RODAS

Cites Work

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