A note on the numerical resolution of Heston PDEs. (English) Zbl 1466.65060
Reviewer: Xiaofei Zhao (Wuhan)
Found 631 Documents (Results 101–200)
A new high order ADI numerical difference formula for time-fractional convection-diffusion equation. (English) Zbl 1474.35675
On inexact alternating direction implicit iteration for continuous Sylvester equations. (English) Zbl 1474.65112
Reviewer: Carlos A. De Moura (Rio de Janeiro)
An alternating direction implicit Galerkin finite element method for the distributed-order time-fractional mobile-immobile equation in two dimensions. (English) Zbl 1524.65584
Sixth-order compact ADI splitting method for the nonlinear Schrödinger equation in three-dimensions. (Chinese. English summary) Zbl 1463.65242
Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme. (English) Zbl 1448.91325
A POD-based reduced-order Crank-Nicolson/fourth-order alternating direction implicit (ADI) finite difference scheme for solving the two-dimensional distributed-order Riesz space-fractional diffusion equation. (English) Zbl 1452.65145
Maximum norm error estimates of a linear CADI method for the Klein-Gordon-Schrödinger equations. (English) Zbl 1447.65019
Linearized ADI schemes for two-dimensional space-fractional nonlinear Ginzburg-Landau equation. (English) Zbl 1447.65042
Alternating direction ghost-fluid methods for solving the heat equation with interfaces. (English) Zbl 1447.65027
A compact ADI scheme for two-dimensional fractional sub-diffusion equation with Neumann boundary condition. (English) Zbl 1442.65152
Alternating direction implicit time integrations for finite difference acoustic wave propagation: parallelization and convergence. (English) Zbl 1519.76217
Pseudo-transient ghost fluid methods for the Poisson-Boltzmann equation with a two-component regularization. (English) Zbl 1460.92087
Unconditional \(L_\infty\) convergence of a compact ADI scheme for coupled nonlinear Schrödinger system. (English) Zbl 1437.65092
Reviewer: Bülent Karasözen (Ankara)
Efficient solution of large-scale algebraic Riccati equations associated with index-2 DAEs via the inexact low-rank Newton-ADI method. (English) Zbl 1462.76142
A spatial fourth-order maximum principle preserving operator splitting scheme for the multi-dimensional fractional Allen-Cahn equation. (English) Zbl 1434.65117
Fractional Gray-Scott model: well-posedness, discretization, and simulations. (English) Zbl 1440.35344
Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods. (English) Zbl 1432.91137
Alternating direction implicit schemes for the two-dimensional time fractional nonlinear super-diffusion equations. (English) Zbl 1449.65181
An alternating direction implicit scheme of a fractional-order diffusion tensor image registration model. (English) Zbl 1429.65184
An ADI difference scheme based on fractional trapezoidal rule for fractional integro-differential equation with a weakly singular kernel. (English) Zbl 1429.65196
A novel compact ADI scheme for two-dimensional Riesz space fractional nonlinear reaction-diffusion equations. (English) Zbl 1429.65216
Douglas-Gunn finite difference scheme for three-dimensional space fractional advection diffusion equation. (Chinese. English summary) Zbl 1438.65185
Exponential compact ADI method for a coupled system of convection-diffusion equations arising from the 2D unsteady magnetohydrodynamic (MHD) flows. (English) Zbl 1448.76198
A tensor voting based fractional-order image denoising model and its numerical algorithm. (English) Zbl 1477.94011
MSC:
94A08
Investigations on several high-order ADI methods for time-space fractional diffusion equation. (English) Zbl 1433.65171
Reviewer: Abdallah Bradji (Annaba)
Crank-Nicolson alternative direction implicit method for space-fractional diffusion equations with nonseparable coefficients. (English) Zbl 1422.65162
A super-Gaussian Poisson-Boltzmann model for electrostatic free energy calculation: smooth dielectric distribution for protein cavities and in both water and vacuum states. (English) Zbl 1418.92042
Unified compact ADI methods for solving nonlinear viscous and nonviscous wave equations. (English) Zbl 1543.65130
A compact ADI Crank-Nicolson difference scheme for the two-dimensional time fractional subdiffusion equation. (English) Zbl 1499.65406
A Crank-Nicolson ADI Galerkin-Legendre spectral method for the two-dimensional Riesz space distributed-order advection-diffusion equation. (English) Zbl 1442.65301
Stability and error estimates of a new high-order compact ADI method for the unsteady 3D convection-diffusion equation. (English) Zbl 1427.65190
The time fourth-order compact ADI methods for solving two-dimensional nonlinear wave equations. (English) Zbl 1427.65157
Effect of the nodes near boundary points on the stability analysis of sixth-order compact finite difference ADI scheme for the two-dimensional time fractional diffusion-wave equation. (English) Zbl 1416.65283
The high-order multistep ADI solver for two-dimensional nonlinear delayed reaction-diffusion equations with variable coefficients. (English) Zbl 1419.65036
A two-level linearized compact ADI scheme for two-dimensional nonlinear reaction-diffusion equations. (English) Zbl 1415.65202
A linearized high-order combined compact difference scheme for multi-dimensional coupled Burgers’ equations. (English) Zbl 1424.65124
Convergence analysis of the finite difference ADI scheme for variable coefficient parabolic problems with nonzero Dirichlet boundary conditions. (English) Zbl 1420.65085
Reviewer: Kanakadurga Sivakumar (Chennai)
A spatially second order alternating direction implicit (ADI) method for solving three dimensional parabolic interface problems. (English) Zbl 1409.65059
A compact ADI method and its extrapolation for time fractional sub-diffusion equations with nonhomogeneous Neumann boundary conditions. (English) Zbl 1409.65058
On multiscale ADI methods for parabolic PDEs with a discontinuous coefficient. (English) Zbl 1412.65083
Modified ADI iterative method for the semi-linear parabolic equation. (Chinese. English summary) Zbl 1424.65127
A backward Euler alternating direction implicit difference scheme for the three-dimensional fractional evolution equation. (English) Zbl 1407.65096
Alternating-direction implicit finite difference methods for a new two-dimensional two-sided space-fractional diffusion equation. (English) Zbl 1448.65125
Numerical algorithms for multidimensional time-fractional wave equation of distributed-order with a nonlinear source term. (English) Zbl 1448.65130
A new high-order compact ADI finite difference scheme for solving 3D nonlinear Schrödinger equation. (English) Zbl 1455.65128
Linearized compact ADI schemes for nonlinear time-fractional Schrödinger equations. (English) Zbl 1473.65097
RADI: a low-rank ADI-type algorithm for large scale algebraic Riccati equations. (English) Zbl 1385.65035
Reviewer: Constantin Popa (Constanţa)
High accuracy compact operator methods for two-dimensional fourth order nonlinear parabolic partial differential equations. (English) Zbl 1434.65127
A second order BDF alternating direction implicit difference scheme for the two-dimensional fractional evolution equation. (English) Zbl 1443.65439
Second-order accurate numerical approximations for the fractional percolation equations. (English) Zbl 1412.65097
High-order finite difference methods for a second order dual-phase-lagging models of microscale heat transfer. (English) Zbl 1411.80005
A matched Peaceman-Rachford ADI method for solving parabolic interface problems. (English) Zbl 1411.65112
High-order-compact ADI schemes for pricing basket options in the combination technique. (English) Zbl 1420.91509
Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 399-405 (2017).
Convergence analysis of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with nonsmooth initial data. (English) Zbl 1433.65169
A finite volume-alternating direction implicit approach for the calibration of stochastic local volatility models. (English) Zbl 1404.65115
Method of lines transpose: energy gradient flows using direct operator inversion for phase-field models. (English) Zbl 1407.65155
Reviewer: Abdallah Bradji (Annaba)
ADI schemes for 2D subdiffusion equation. (English) Zbl 1368.65150
Dimov, Ivan (ed.) et al., Numerical analysis and its applications. 6th international conference, NAA 2016, Lozenetz, Bulgaria, June 15–22, 2016. Revised selected papers. Cham: Springer (ISBN 978-3-319-57098-3/pbk; 978-3-319-57099-0/ebook). Lecture Notes in Computer Science 10187, 350-358 (2017).
On the quasi-unconditional stability of BDF-ADI solvers for the compressible Navier-Stokes equations and related linear problems. (English) Zbl 1362.65093
An improved meshless method for solving two-dimensional distributed order time-fractional diffusion-wave equation with error estimate. (English) Zbl 1412.65131
The ADI method for bounded real and positive real Lur’e equations. (English) Zbl 1361.65026
Reviewer: Kanakadurga Sivakumar (Chennai)
Special splines of exponential type for the solutions of mass transfer problems in multilayer domains. (English) Zbl 1488.65223
Compact difference scheme for a class of fractional-in-space nonlinear damped wave equations in two space dimensions. (English) Zbl 1443.65138
Split-step alternating direction implicit difference scheme for the fractional Schrödinger equation in two dimensions. (English) Zbl 1443.65145
Higher order ADI method with completed Richardson extrapolation for solving unsteady convection-diffusion equations. (English) Zbl 1443.65119
A fractional phase-field model for two-phase flows with tunable sharpness: algorithms and simulations. (English) Zbl 1423.76102
A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives. (English) Zbl 1410.65319
Lubich second-order methods for distributed-order time-fractional differential equations with smooth solutions. (English) Zbl 1457.65047
A new ADI parallel difference method for quanto options pricing model. (Chinese. English summary) Zbl 1374.91139
Fast difference schemes for solving high-dimensional time-fractional subdiffusion equations. (English) Zbl 1352.65278
Error analysis of a high-order compact ADI method for two-dimensional fractional convection-subdiffusion equations. (English) Zbl 1359.65173
Reviewer: Petr Sváček (Praha)
A modified compact ADI method and its extrapolation for two-dimensional fractional subdiffusion equations. (English) Zbl 1354.65173
Reviewer: Petr Sváček (Praha)
ADI iteration for Lyapunov equations: A tangential approach and adaptive shift selection. (English) Zbl 1348.65079
Multistep finite difference schemes for the variable coefficient delay parabolic equations. (English) Zbl 1358.65061
Monotone iterative ADI method for solving coupled systems of nonlinear parabolic equations. (English) Zbl 1346.65039
An inexact low-rank Newton-ADI method for large-scale algebraic Riccati equations. (English) Zbl 1346.65017
An inverse-free ADI algorithm for computing Lagrangian invariant subspaces. (English) Zbl 1438.65079
Reviewer: Juan Ramon Torregrosa Sanchez (Valencia)
A novel compact ADI scheme for the time-fractional subdiffusion equation in two space dimensions. (English) Zbl 1390.65062
Method of lines transpose: high order L-stable \(\mathcal O(N)\) schemes for parabolic equations using successive convolution. (English) Zbl 1339.65199
The compact and Crank-Nicolson ADI schemes for two-dimensional semilinear multidelay parabolic equations. (English) Zbl 1382.65261
Low-rank Newton-ADI methods for large nonsymmetric algebraic Riccati equations. (English) Zbl 1336.93056
Finite difference schemes for two-dimensional time-space fractional differential equations. (English) Zbl 1390.65083
Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term. (English) Zbl 1342.65188
On the solution of large-scale algebraic Riccati equations by using low-dimensional invariant subspaces. (English) Zbl 1330.15017
Devising efficient numerical methods for oscillating patterns in reaction-diffusion systems. (English) Zbl 1329.65187
Alternating direction implicit compact difference scheme for the two-dimensional fractional evolution equation. (Chinese. English summary) Zbl 1488.65257
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