Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term

Authors:
K. J. in 't Hout;C. Mishra
Affiliations:
-;-
Venue:
Mathematics and Computers in Simulation
Year:
2011

Citing 4
Cited 1

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Abstract

Abstract: The modified Craig-Sneyd (MCS) scheme is a promising splitting scheme of the ADI type for multi-dimensional pure diffusion equations having mixed spatial-derivative terms. In this paper we investigate the extension of the MCS scheme to two-dimensional convection-diffusion equations with a mixed derivative. Both necessary and sufficient conditions on the parameter @q of the scheme are derived concerning unconditional stability in the von Neumann sense.