Stability of ADI schemes applied to convection-diffusion equations with mixed derivative terms

By K. I. Hout, Bruno D. Welfert. 2007

117 citations recorded by the source corpus.

Subfields: Computational Mechanics, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/c6cc50ceaaaccd5cc03837b677400a295b66e2e7

Citations in the corpus

• ADI Schemes for Pricing American Options under the Heston Model (2013, unknown): “In the literature substantial attention has recently been given to the study of unconditional von Neumann stability for ADI schemes when applied to multidimensional convection-diffusion equations with mixed spatial derivative terms, cf. [8, 17, 19, 20, 27, 28].”