Crank-Nicolson time-marching.

Crank-Nicolson time-marching.

This entry describes the Crank-Nicolson time-marching discretisation and its numerical properties. It also presents the Rannacher startup procedure which is required to achieve second order accuracy for the option value and its first and second derivatives, and discusses extensions to nonlinear and...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριος συγγραφέας:	Giles, M
Μορφή:	Working paper
Γλώσσα:	English
Έκδοση:	Oxford-Man Institute of Quantitative Finance 2008

Παρόμοια τεκμήρια

Convergence analysis of Crank-Nicolson and Rannacher time-marching
ανά: Giles, M, κ.ά.
Έκδοση: (2005)

Iterated Crank–Nicolson Method for Peridynamic Models
ανά: Jinjie Liu, κ.ά.
Έκδοση: (2024-03-01)

On the Crank-Nicolson difference scheme for the time-dependent source identification problem
ανά: A. Ashyralyev, κ.ά.
Έκδοση: (2021-06-01)

The impact of a natural time change on the convergence of the Crank-Nicolson scheme
ανά: Reisinger, C, κ.ά.
Έκδοση: (2014)

The impact of a natural time change on the convergence of the Crank-Nicolson scheme
ανά: Reisinger, C, κ.ά.
Έκδοση: (2013)

A Crank-Nicolson Scheme for the Dirichlet-to-Neumann Semigroup
ανά: Rola Ali Ahmad, κ.ά.
Έκδοση: (2015-01-01)

Solving burgers equation using crank-nicolson method /
ανά: 519619 Syazwani Mohd. Zokri, κ.ά.
Έκδοση: (2012)

Efficient algorithms for crank-nicolson-based finite-difference time-domain methods
ανά: Tan, Eng Leong
Έκδοση: (2020)

Explicit FDTD method based on iterated Crank–Nicolson scheme
ανά: Jun Shibayama, κ.ά.
Έκδοση: (2022-01-01)

Determining European Options Values through Crank-Nicolson Method
ανά: Sorin MANOLE, κ.ά.
Έκδοση: (2006-01-01)

A Crank-Nicolson Method of Autocatalytic Reaction-Diffusion Systems
ανά: Abbas Al-Bayati, κ.ά.
Έκδοση: (2006-12-01)

The Splitting Crank–Nicolson Scheme with Intrinsic Parallelism for Solving Parabolic Equations
ανά: Guanyu Xue, κ.ά.
Έκδοση: (2020-01-01)

Keakuratan Solusi Pada Persamaan Difusi Menggunakan Skema Crank-Nicolson
ανά: Afidah Karimatul Laili, κ.ά.
Έκδοση: (2014-11-01)

Numerical solution of nonlinear schrodinger equation using crank-nicolson method /
ανά: Md. Noman Uddin, 1979-, author 639810, κ.ά.
Έκδοση: (2020)

Numerical solution of nonlinear schrodinger equation using crank-nicolson method /
ανά: Md. Noman Uddin, 1979-, author 639810
Έκδοση: (2020)

A Crank–Nicolson Compact Difference Method for Time-Fractional Damped Plate Vibration Equations
ανά: Cailian Wu, κ.ά.
Έκδοση: (2022-10-01)

A decoupled Crank-Nicolson time-stepping scheme for thermally coupled magneto-hydrodynamic system
ανά: S. S. Ravindran
Έκδοση: (2017-12-01)

Frequency‐dependent finite‐difference time‐domain method based on iterated Crank–Nicolson scheme
ανά: Jun Shibayama, κ.ά.
Έκδοση: (2023-01-01)

An alternating segment Crank–Nicolson parallel difference scheme for the time fractional sub-diffusion equation
ανά: Lifei Wu, κ.ά.
Έκδοση: (2018-08-01)

Solving Advection Equations by Applying the Crank-Nicolson Scheme Combined with the Richardson Extrapolation
ανά: Zahari Zlatev, κ.ά.
Έκδοση: (2011-01-01)

A Crank–Nicolson collocation spectral method for the two-dimensional telegraph equations
ανά: Yanjie Zhou, κ.ά.
Έκδοση: (2018-06-01)

Crank-Nicolson Legendre spectral approximation for space-fractional Allen-Cahn equation
ανά: Wenping Chen, κ.ά.
Έκδοση: (2019-05-01)

Fractional Crank-Nicolson-Galerkin Finite Element Methods for Nonlinear Time Fractional Parabolic Problems with Time Delay
ανά: Lili Li, κ.ά.
Έκδοση: (2021-01-01)

Error analysis of Crank–Nicolson-FEM for Fitzhugh–Nagumo system with Robin boundary conditions
ανά: S. Dawe, κ.ά.
Έκδοση: (2025-03-01)

A numerical approximation for the solution of a time-fractional telegraph equation based on the Crank–Nicolson method
ανά: H. Hajinezhad, κ.ά.
Έκδοση: (2022-11-01)

A Crank–Nicolson Finite Volume Element Method for Time Fractional Sobolev Equations on Triangular Grids
ανά: Jie Zhao, κ.ά.
Έκδοση: (2020-09-01)

A semi-Lagrangian Crank-Nicolson algorithm for the numerical solution of advection-diffusion problems
ανά: Spiegelman, M, κ.ά.
Έκδοση: (2006)

Crank-Nicolson finite difference method for two-dimensional fractional sub-diffusion equation
ανά: Ali, Umair, κ.ά.
Έκδοση: (2017)

A Newton Linearized Crank-Nicolson Method for the Nonlinear Space Fractional Sobolev Equation
ανά: Yifan Qin, κ.ά.
Έκδοση: (2021-01-01)

Modified Crank-Nicolson Difference Schemes for Nonlocal Boundary Value Problem for the Schrödinger Equation
ανά: Allaberen Ashyralyev, κ.ά.
Έκδοση: (2009-01-01)

An efficient method to solve the fuzzy Crank–Nicolson scheme with application to the groundwater flow problem
ανά: N. Samarinas, κ.ά.
Έκδοση: (2022-05-01)

The Crank–Nicolson finite element method for the 2D uniform transmission line equation
ανά: Hulin Ren, κ.ά.
Έκδοση: (2020-04-01)

An optimized finite difference Crank-Nicolson iterative scheme for the 2D Sobolev equation
ανά: Hong Xia, κ.ά.
Έκδοση: (2017-07-01)

Solution of parabolic PDEs by modified quintic B-spline Crank-Nicolson collocation method
ανά: Mohammad Tamsir, κ.ά.
Έκδοση: (2021-06-01)

A Crank-Nicolson finite volume element method for two-dimensional Sobolev equations
ανά: Zhendong Luo
Έκδοση: (2016-08-01)

Crank-Nicolson method for evaluation of solutions of partial differential equations of the heat conduction type /
ανά: 492285 Azlin Rifhan Abdul Rahman, κ.ά.
Έκδοση: (2010)

Solving one dimensional burgers equation using crank-nicolson and cubic spline methods /
ανά: Norshahera Sallehudin, 1986- author, κ.ά.
Έκδοση: (2013)

Corrigendum to “Fractional Crank-Nicolson-Galerkin Finite Element Methods for Nonlinear Time Fractional Parabolic Problems with Time Delay”
ανά: Lili Li, κ.ά.
Έκδοση: (2022-01-01)

Fast Crank-Nicolson compact difference scheme for the two-dimensional time-fractional mobile/immobile transport equation
ανά: Lijuan Nong, κ.ά.
Έκδοση: (2021-04-01)

A Second-Order Crank-Nicolson-Type Scheme for Nonlinear Space–Time Reaction–Diffusion Equations on Time-Graded Meshes
ανά: Yusuf O. Afolabi, κ.ά.
Έκδοση: (2022-12-01)