Abstract
AbstractA new family of numerical schemes for inhomogeneous parabolic partial differential equations is developed utilizing diagonal Padé schemes combined with positivity–preserving Padé schemes as damping devices. We also develop a split version of the algorithm using partial fraction decomposition to address difficulties with accuracy and computational efficiency in solving and to implement the algorithms in parallel. Numerical experiments are presented for several inhomogeneous parabolic problems, including pricing of financial options with nonsmooth payoffs.© 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2007
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Numerical Methods for Partial Differential Equations
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
