A finite difference method for a boundary value problem related to the Kolmogorov equation (Q1373472)
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| English | A finite difference method for a boundary value problem related to the Kolmogorov equation |
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A finite difference method for a boundary value problem related to the Kolmogorov equation (English)
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6 July 1998
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The authors consider the degenerate Kolmogorov type problem: \[ u_{xx} +x u_y -u_t =0, \quad -1<x<1,\;-1 <y<1,\;-1<t<1. \] The purpose of the paper is to give an explicit and an implicit difference scheme for this equation. Their stability and convergence are also discussed.
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finite difference method
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Kolmogorov equation
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consistency
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stability
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convergence
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