Stability of the modified Craig–Sneyd scheme for two-dimensional convection–diffusion equations with mixed derivative term

Author:

in 't Hout K.J.,Mishra C.

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference13 articles.

1. An alternating-direction implicit scheme for parabolic equations with mixed derivatives;Craig;Comput. Math. Appl.,1988

2. ADI finite difference schemes for option pricing in the Heston model with correlation;in 't Hout;Int. J. Numer. Anal. Model.,2010

3. A stability result for the modified Craig–Sneyd scheme applied to 2D and 3D pure diffusion equations;in 't Hout,2010

4. Stability of ADI schemes applied to convection–diffusion equations with mixed derivative terms;in 't Hout;Appl. Numer. Math.,2007

5. Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms;in 't Hout;Appl. Numer. Math.,2009

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