Rate of convergence of finite difference approximations for degenerate ordinary differential equations

DOI10.1090/S0025-5718-06-01876-XzbMath1109.65070MaRDI QIDQ3420231

Jianfeng Zhang

Publication date: 1 February 2007

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

zbMATH Keywords

convergencefinite difference approximationsdegenerate convection-diffusion equationsprobabilistic solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solution of boundary value problems involving ordinary differential equations (65L10) Error bounds for numerical methods for ordinary differential equations (65L70) Linear boundary value problems for ordinary differential equations (34B05) Finite difference and finite volume methods for ordinary differential equations (65L12)

Related Items (1)

Convergence rates of Markov chain approximation methods for controlled diffusions with stopping

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