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Quantitative Finance · Glossary

What is M-matrix, upwind scheme?

Also known as: M-matrix · upwind scheme

Definition 27.8 Quantitative Methods · Chapter 27 — Finite-Difference Methods

An M-matrix is a real square matrix with nonpositive off-diagonal entries whose inverse exists and is entrywise nonnegative. An upwind scheme discretises the first derivative by the one-sided difference taken towards the direction the drift comes from, where the central difference would make an off-diagonal coefficient of LhL_h negative.

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