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sam
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Joined: December 5th, 2001, 12:04 pm

ADI PDE technique

November 28th, 2005, 9:44 pm

Hi,If anyone can shed some light on this then it will be much appreciated.Basically I am trying to understand the limitations of applying the ADI technique as it is written in volume 2 of wilmott. The 3-D PDE has coefficients a,b and in the general case they are functions of t and the 2 underlying. What restrictions are imposed on a and b for the ADI technique to work (are there any??). Can they be non-linear? Can they be arbitrary (so long as I know that the solution exists and is unique?).Thanks,
 
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Cuchulainn
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ADI PDE technique

November 29th, 2005, 8:47 am

> ADI techniqueOne important point is that the ellipticity of the original PDE be preserved in any FDM schemes., especially with mixed derivatives. 2-factor model?
Last edited by Cuchulainn on November 28th, 2005, 11:00 pm, edited 1 time in total.