Title
Convergence of the Hundsdorfer-Verwer scheme for two-dimensional convection-diffusion equations with mixed derivative term Convergence of the Hundsdorfer-Verwer scheme for two-dimensional convection-diffusion equations with mixed derivative term
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
conferenceObject
Publication
Melville :Amer inst physics ,
Subject
Mathematics
Physics
Source (journal)
APPLIED MATHEMATICS 2014 (ICNAAM-2014)
AIP conference proceedings / American Institute of Physics. - New York
Source (book)
International Conference on Numerical Analysis and Applied Mathematics, (ICNAAM), SEP 22-28, 2014, Rhodes, GREECE
Volume/pages
1648(2015) , 5 p.
ISSN
0094-243X
ISBN
978-0-7354-1287-3
ISI
000355339705106
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
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.
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Full text (open access)
https://repository.uantwerpen.be/docman/irua/e11e16/126447.pdf
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