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Conference Paper

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This item is available under a Creative Commons License for non-commercial use only

Publication Details

ICNAAM 2010: International Conference of Numerical Analysis and Applied Mathematics 2010 1281 (1), 761-764

http://dx.doi.org/10.1063/1.3498594

Abstract

Explicit numerical methods for the solution of a system of differential equations may suffer from a time step size that approaches zero in order to satisfy stability conditions. When the differential equations are dominated by a skew-symmetric component, the problem is that the real eigenvalues are dominated by imaginary eigenvalues. We compare results for stable time step limits for the super-time-stepping method of Alexiades, Amiez, and Gremaud (super-time-stepping methods belong to the Runge-Kutta-Chebyshev class) and a new method modeled on a predictor-corrector scheme with multiplicative operator splitting. This new explicit method increases stability of the original super-time-stepping whenever the skew-symmetric term is nonzero, which occurs in particular convection-diffusion problems and more generally when the iteration matrix represents a nonlinear operator. The new method is stable for skew symmetric dominated systems where the regular super-time-stepping scheme fails. This method is second order in time (may be increased by Richardson extrapolation) and the spatial order is determined by the user's choice of discretization scheme. We present a comparison between the two super-time-stepping methods to show the speed up available for any non-symmetric system using the nearly symmetric Black-Scholes equation as an example.

DOI

https://doi.or/10.1063/1.3498594

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