Module: tf_quant_finance.math.pde.steppers.douglas_adi

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Last updated: 2023-03-16.

Module: tf_quant_finance.math.pde.steppers.douglas_adi#

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Douglas ADI method for solving multidimensional parabolic PDEs.

Functions#

douglas_adi_scheme(...): Applies Douglas time marching scheme (see [1] and Eq. 3.1 in [2]).

douglas_adi_step(...): Creates a stepper function with Crank-Nicolson time marching scheme.

multidim_parabolic_equation_step(...): Performs one step in time to solve a multidimensional PDE.

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