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Quantitative Finance · Glossaire

Qu'est-ce que « M-matrix, upwind scheme » ?

Aussi appelé : M-matrix · upwind scheme

Definition 27.8 Quantitative Methods · Chapitre 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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