Convergence Rates of Parabolic Difference Schemes for Non-Smooth Data

DOI10.2307/2005811MaRDI QIDQ4768586zbMATH OpenOpenAlexFDO

Authors Vidar Thomée, L. B. Wahlbin

Publication date 1974

Published in Mathematics of Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2005811

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

Cited in

(7)

• On the Lax equivalence theorem equipped with orders
• Modified B-spline collocation approach for pricing American style Asian options
• Treatment of incompatible initial and boundary data for parabolic equations in higher dimension
• Analysis of Quantization Error in Financial Pricing via Finite Difference Methods
• Analysis of Markov chain approximation for option pricing and hedging: grid design and convergence behavior
• Option pricing in some non-Lévy jump models
• From finite differences to finite elements. A short history of numerical analysis of partial differential equations

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