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,