Boundary corrections on multi-dimensional PDEs

DOI10.1007/s11075-023-01655-1MaRDI QIDQ6543324

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

Publication date: 24 May 2024

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

zbMATH Keywords

finite differencesapproximate matrix factorizationorder reductionW-methodshigh-dimensional PDEsboundary correction technique

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Cites Work

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• PDE-W-methods for parabolic problems with mixed derivatives
• AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model
• Avoiding the order reduction of Runge-Kutta methods for linear initial boundary value problems
• AMF-type W-methods for Parabolic Problems with Mixed Derivatives
• Convergence in $\ell_2$ and $\ell_\infty$ Norm of One-Stage AMF-W-Methods for Parabolic Problems
• AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models
• Overcoming Order Reduction in Diffusion-Reaction Splitting. Part 1: Dirichlet Boundary Conditions
• A New Computational Procedure for A.D.I. Methods

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