Title 



Convergence of the HundsdorferVerwer scheme for twodimensional convectiondiffusion equations with mixed derivative term


Author 





Abstract 



Alternating Direction Implicit (ADI) schemes are popular in the numerical solution of multidimensional timedependent partial differential equations (PDEs) arising in various contemporary application fields such as financial mathematics. The HundsdorferVerwer (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 onedimensional 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 twodimensional convectiondiffusion equations with mixed derivative term.  

Language 



English


Source (journal) 



AIP conference proceedings / American Institute of Physics.  New York 





APPLIED MATHEMATICS 2014 (ICNAAM2014) 

Source (book) 



International Conference on Numerical Analysis and Applied Mathematics, (ICNAAM), SEP 2228, 2014, Rhodes, GREECE 

Publication 



Melville : Amer inst physics, 2015


ISBN 



9780735412873


Volume/pages 



1648(2015), 5 p.


ISI 



000355339705106


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