Convergence analysis and application of ADI schemes for partial differential equations from financial mathematics. University of Antwerp
In this research project our aim is to investigate the convergence of ADI schemes in the numerical solution of multi-dimensional time-dependent PDEs arising in financial mathematics. As mentioned above, these PDEs possess essentially different features from those in other application areas. In particular, mixed spatial derivative terms are pervasive in finance and ADI schemes were not originally developed for PDEs with such terms. Recently, ...