Publication
Title
Convergence of the Hundsdorfer-Verwer scheme for two-dimensional convection-diffusion equations with mixed derivative term
Author
Abstract
Alternating Direction Implicit (ADI) schemes are popular in the numerical solution of multidimensional time-dependent partial differential equations (PDEs) arising in various contemporary application fields such as financial mathematics. The Hundsdorfer-Verwer (HV) scheme is an often used ADI scheme. A structural analysis of its fundamental properties, notably convergence, is of main interest. Up to now, however, a convergence result is only known in the literature relevant to the case of one-dimensional PDEs. In this paper we prove that, under natural stability and smoothness conditions, the HV scheme has a temporal order of convergence equal to two, uniformly in the spatial mesh width, whenever it is applied to two-dimensional convection-diffusion equations with mixed derivative term.
Language
English
Source (journal)
AIP conference proceedings / American Institute of Physics. - New York
APPLIED MATHEMATICS 2014 (ICNAAM-2014)
Source (book)
International Conference on Numerical Analysis and Applied Mathematics, (ICNAAM), SEP 22-28, 2014, Rhodes, GREECE
Publication
Melville : Amer inst physics, 2015
ISBN
978-0-7354-1287-3
Volume/pages
1648(2015), 5 p.
ISI
000355339705106
Full text (Publisher's DOI)
Full text (open access)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 02.07.2015
Last edited 07.07.2017
To cite this reference