Sharp error estimates for discretizations of the 1D convection–diffusion equation with Dirac initial data

DOI10.1093/IMANUM/DRL043zbMATH Open1122.65080OpenAlexW2149272792WikidataQ60224639 ScholiaQ60224639MaRDI QIDQ3437239FDOQ3437239

Authors: Rebecca Carter, Mike Giles 

Publication date: 14 May 2007

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/8febbd059f9dc6922edbccd42b1dd640e1814a48

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zbMATH Keywords

convergenceerror boundsnumerical resultsconvection-diffusion equationmathematical financeBlack-Scholes equationCrank-Nicolson time marchingDirac initial dataRannacher startup

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Initial value problems for second-order parabolic equations (35K15) 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 (5)

• Analysis of Quantization Error in Financial Pricing via Finite Difference Methods
• A Partial Fourier Transform Method for a Class of Hypoelliptic Kolmogorov Equations
• Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
• Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE

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