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

DOI10.1093/IMANUM/DRL043MaRDI QIDQ3437239zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cited in

(6)

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

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