Displaying similar documents to “On the Convergence of Finite Difference Scheme for Elliptic Equation With Coefficients Containing Dirac Distribution”

Generalized method of lines for first order partial functional differential equations

W. Czernous (2006)

Annales Polonici Mathematici

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Classical solutions of initial boundary value problems are approximated by solutions of associated differential difference problems. A method of lines for an unknown function for the original problem and for its partial derivatives with respect to spatial variables is constructed. A complete convergence analysis for the method is given. A stability result is proved by using differential inequalities with nonlinear estimates of the Perron type for the given operators. ...

Comparison of explicit and implicit difference schemes for parabolic functional differential equations

Zdzisław Kamont, Karolina Kropielnicka (2012)

Annales Polonici Mathematici

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Initial-boundary value problems of Dirichlet type for parabolic functional differential equations are considered. Explicit difference schemes of Euler type and implicit difference methods are investigated. The following theoretical aspects of the methods are presented. Sufficient conditions for the convergence of approximate solutions are given and comparisons of the methods are presented. It is proved that the assumptions on the regularity of the given functions are the same for both...

Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation

Bertram Düring, Michel Fournié, Ansgar Jüngel (2004)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

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A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. The proof is based on a careful study of the discretization matrices and on an abstract convergence result due to Barles and Souganides. ...