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...

Bibliografiset tiedot
Päätekijä:	Giles, M
Aineistotyyppi:	Working paper
Kieli:	English
Julkaistu:	Oxford-Man Institute of Quantitative Finance 2008

Samankaltaisia teoksia

Convergence analysis of Crank-Nicolson and Rannacher time-marching
Tekijä: Giles, M, et al.
Julkaistu: (2005)

Iterated Crank–Nicolson Method for Peridynamic Models
Tekijä: Jinjie Liu, et al.
Julkaistu: (2024-03-01)

On the Crank-Nicolson difference scheme for the time-dependent source identification problem
Tekijä: A. Ashyralyev, et al.
Julkaistu: (2021-06-01)

The impact of a natural time change on the convergence of the Crank-Nicolson scheme
Tekijä: Reisinger, C, et al.
Julkaistu: (2014)

The impact of a natural time change on the convergence of the Crank-Nicolson scheme
Tekijä: Reisinger, C, et al.
Julkaistu: (2013)

A Crank-Nicolson Scheme for the Dirichlet-to-Neumann Semigroup
Tekijä: Rola Ali Ahmad, et al.
Julkaistu: (2015-01-01)

Solving burgers equation using crank-nicolson method /
Tekijä: 519619 Syazwani Mohd. Zokri, et al.
Julkaistu: (2012)

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

Explicit FDTD method based on iterated Crank–Nicolson scheme
Tekijä: Jun Shibayama, et al.
Julkaistu: (2022-01-01)

Determining European Options Values through Crank-Nicolson Method
Tekijä: Sorin MANOLE, et al.
Julkaistu: (2006-01-01)

A Crank-Nicolson Method of Autocatalytic Reaction-Diffusion Systems
Tekijä: Abbas Al-Bayati, et al.
Julkaistu: (2006-12-01)

The Splitting Crank–Nicolson Scheme with Intrinsic Parallelism for Solving Parabolic Equations
Tekijä: Guanyu Xue, et al.
Julkaistu: (2020-01-01)

Keakuratan Solusi Pada Persamaan Difusi Menggunakan Skema Crank-Nicolson
Tekijä: Afidah Karimatul Laili, et al.
Julkaistu: (2014-11-01)

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

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

A Crank–Nicolson Compact Difference Method for Time-Fractional Damped Plate Vibration Equations
Tekijä: Cailian Wu, et al.
Julkaistu: (2022-10-01)

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

Frequency‐dependent finite‐difference time‐domain method based on iterated Crank–Nicolson scheme
Tekijä: Jun Shibayama, et al.
Julkaistu: (2023-01-01)

An alternating segment Crank–Nicolson parallel difference scheme for the time fractional sub-diffusion equation
Tekijä: Lifei Wu, et al.
Julkaistu: (2018-08-01)

Solving Advection Equations by Applying the Crank-Nicolson Scheme Combined with the Richardson Extrapolation
Tekijä: Zahari Zlatev, et al.
Julkaistu: (2011-01-01)

A Crank–Nicolson collocation spectral method for the two-dimensional telegraph equations
Tekijä: Yanjie Zhou, et al.
Julkaistu: (2018-06-01)

Crank-Nicolson Legendre spectral approximation for space-fractional Allen-Cahn equation
Tekijä: Wenping Chen, et al.
Julkaistu: (2019-05-01)

Fractional Crank-Nicolson-Galerkin Finite Element Methods for Nonlinear Time Fractional Parabolic Problems with Time Delay
Tekijä: Lili Li, et al.
Julkaistu: (2021-01-01)

Error analysis of Crank–Nicolson-FEM for Fitzhugh–Nagumo system with Robin boundary conditions
Tekijä: S. Dawe, et al.
Julkaistu: (2025-03-01)

A numerical approximation for the solution of a time-fractional telegraph equation based on the Crank–Nicolson method
Tekijä: H. Hajinezhad, et al.
Julkaistu: (2022-11-01)

A Crank–Nicolson Finite Volume Element Method for Time Fractional Sobolev Equations on Triangular Grids
Tekijä: Jie Zhao, et al.
Julkaistu: (2020-09-01)

A semi-Lagrangian Crank-Nicolson algorithm for the numerical solution of advection-diffusion problems
Tekijä: Spiegelman, M, et al.
Julkaistu: (2006)

Crank-Nicolson finite difference method for two-dimensional fractional sub-diffusion equation
Tekijä: Ali, Umair, et al.
Julkaistu: (2017)

A Newton Linearized Crank-Nicolson Method for the Nonlinear Space Fractional Sobolev Equation
Tekijä: Yifan Qin, et al.
Julkaistu: (2021-01-01)

Modified Crank-Nicolson Difference Schemes for Nonlocal Boundary Value Problem for the Schrödinger Equation
Tekijä: Allaberen Ashyralyev, et al.
Julkaistu: (2009-01-01)

An efficient method to solve the fuzzy Crank–Nicolson scheme with application to the groundwater flow problem
Tekijä: N. Samarinas, et al.
Julkaistu: (2022-05-01)

The Crank–Nicolson finite element method for the 2D uniform transmission line equation
Tekijä: Hulin Ren, et al.
Julkaistu: (2020-04-01)

An optimized finite difference Crank-Nicolson iterative scheme for the 2D Sobolev equation
Tekijä: Hong Xia, et al.
Julkaistu: (2017-07-01)

Solution of parabolic PDEs by modified quintic B-spline Crank-Nicolson collocation method
Tekijä: Mohammad Tamsir, et al.
Julkaistu: (2021-06-01)

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

Crank-Nicolson method for evaluation of solutions of partial differential equations of the heat conduction type /
Tekijä: 492285 Azlin Rifhan Abdul Rahman, et al.
Julkaistu: (2010)

Solving one dimensional burgers equation using crank-nicolson and cubic spline methods /
Tekijä: Norshahera Sallehudin, 1986- author, et al.
Julkaistu: (2013)

Corrigendum to “Fractional Crank-Nicolson-Galerkin Finite Element Methods for Nonlinear Time Fractional Parabolic Problems with Time Delay”
Tekijä: Lili Li, et al.
Julkaistu: (2022-01-01)

Fast Crank-Nicolson compact difference scheme for the two-dimensional time-fractional mobile/immobile transport equation
Tekijä: Lijuan Nong, et al.
Julkaistu: (2021-04-01)

A Second-Order Crank-Nicolson-Type Scheme for Nonlinear Space–Time Reaction–Diffusion Equations on Time-Graded Meshes
Tekijä: Yusuf O. Afolabi, et al.
Julkaistu: (2022-12-01)