Title
Convergence of the Modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term Convergence of the Modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
article
Publication
Antwerp ,
Subject
Mathematics
Computer. Automation
Source (journal)
Journal of computational and applied mathematics. - Antwerp
Volume/pages
296(2016) , p. 170-180
ISSN
0377-0427
ISI
000367107200013
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
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.
Full text (open access)
https://repository.uantwerpen.be/docman/irua/d44590/129383.pdf
E-info
https://repository.uantwerpen.be/docman/iruaauth/2fbd8d/129383.pdf
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