Publication
Title
Convergence of the Modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term
Author
Abstract
We consider the Modified CraigSneyd (MCS) scheme which forms a prominent time stepping method of the Alternating Direction Implicit type for multidimensional time-dependent convectiondiffusion equations with mixed spatial derivative terms. Such equations arise often, notably, in the field of financial mathematics. In this paper a first convergence theorem for the MCS scheme is proved where the obtained bound on the global temporal discretization errors has the essential property that it is independent of the (arbitrarily small) spatial mesh width from the semidiscretization. The obtained theorem is directly pertinent to two-dimensional convectiondiffusion equations with mixed derivative term. Numerical experiments are provided that illustrate our result.
Language
English
Source (journal)
Journal of computational and applied mathematics. - Antwerp
Publication
Antwerp : 2016
ISSN
0377-0427
Volume/pages
296(2016), p. 170-180
ISI
000367107200013
Full text (Publishers DOI)
Full text (open access)
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UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 08.12.2015
Last edited 25.04.2017
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