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High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance.
Christian Hendricks
Christof Heuer
Matthias Ehrhardt
Michael Günther
Published in:
J. Comput. Appl. Math. (2017)
Keyphrases
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high order
finite difference
partial differential equations
higher order
numerical solution
numerical scheme
hamilton jacobi
low order
finite element
pairwise
numerical analysis
lower order
level set
anisotropic diffusion
tensor decomposition