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...

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Bibliografische gegevens
Hoofdauteur:	Giles, M
Formaat:	Working paper
Taal:	English
Gepubliceerd in:	Oxford-Man Institute of Quantitative Finance 2008

Gelijkaardige items

Convergence analysis of Crank-Nicolson and Rannacher time-marching
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Iterated Crank–Nicolson Method for Peridynamic Models
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On the Crank-Nicolson difference scheme for the time-dependent source identification problem
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The impact of a natural time change on the convergence of the Crank-Nicolson scheme
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The impact of a natural time change on the convergence of the Crank-Nicolson scheme
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A Crank-Nicolson Scheme for the Dirichlet-to-Neumann Semigroup
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Solving burgers equation using crank-nicolson method /
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Efficient algorithms for crank-nicolson-based finite-difference time-domain methods
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Explicit FDTD method based on iterated Crank–Nicolson scheme
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Determining European Options Values through Crank-Nicolson Method
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A Crank-Nicolson Method of Autocatalytic Reaction-Diffusion Systems
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The Splitting Crank–Nicolson Scheme with Intrinsic Parallelism for Solving Parabolic Equations
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Keakuratan Solusi Pada Persamaan Difusi Menggunakan Skema Crank-Nicolson
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Numerical solution of nonlinear schrodinger equation using crank-nicolson method /
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Numerical solution of nonlinear schrodinger equation using crank-nicolson method /
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A Crank–Nicolson Compact Difference Method for Time-Fractional Damped Plate Vibration Equations
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A decoupled Crank-Nicolson time-stepping scheme for thermally coupled magneto-hydrodynamic system
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Frequency‐dependent finite‐difference time‐domain method based on iterated Crank–Nicolson scheme
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An alternating segment Crank–Nicolson parallel difference scheme for the time fractional sub-diffusion equation
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Solving Advection Equations by Applying the Crank-Nicolson Scheme Combined with the Richardson Extrapolation
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Gepubliceerd in: (2011-01-01)

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

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

Fractional Crank-Nicolson-Galerkin Finite Element Methods for Nonlinear Time Fractional Parabolic Problems with Time Delay
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Gepubliceerd in: (2021-01-01)

Error analysis of Crank–Nicolson-FEM for Fitzhugh–Nagumo system with Robin boundary conditions
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A numerical approximation for the solution of a time-fractional telegraph equation based on the Crank–Nicolson method
door: H. Hajinezhad, et al.
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A Crank–Nicolson Finite Volume Element Method for Time Fractional Sobolev Equations on Triangular Grids
door: Jie Zhao, et al.
Gepubliceerd in: (2020-09-01)

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

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

A Newton Linearized Crank-Nicolson Method for the Nonlinear Space Fractional Sobolev Equation
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Gepubliceerd in: (2021-01-01)

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

An efficient method to solve the fuzzy Crank–Nicolson scheme with application to the groundwater flow problem
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Gepubliceerd in: (2022-05-01)

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

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

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

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

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

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

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

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

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