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Quantitative Finance · Glossário

O que é Von Neumann stability analysis, CFL condition?

Também chamado de: von Neumann stability analysis · CFL condition

Definition 27.5 Quantitative Methods · Capítulo 27 — Finite-Difference Methods

Von Neumann stability analysis substitutes a Fourier mode Ujn=gneijξU_j^n = g^ne^{\mathrm ij\xi} into a constant-coefficient scheme and requires ∣g(ξ)∣≤1+O(Δτ)|g(\xi)| \le 1 + O(\Delta\tau) for every frequency. The CFL condition (Courant, Friedrichs and Lewy, 1928) is the resulting restriction of the time step by the space step for an explicit scheme.

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