The Mathematical Institute, University of Oxford, Eprints Archive

Sharp error estimates for discretisations of the 1D convection/diffusion equation with Dirac initial data

Carter, R. and Giles, M. B. (2005) Sharp error estimates for discretisations of the 1D convection/diffusion equation with Dirac initial data. Technical Report. Unspecified. (Submitted)

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Abstract

This paper derives sharp estimates of the error arising from explicit and implicit approximations of the constant coefficient 1D convection/diffusion equation with Dirac initial data. The error analysis is based on Fourier analysis and asymptotic approximation of the integrals resulting from the inverse Fourier transform. This research is motivated by applications in computational finance and the desire to prove convergence of approximations to adjoint partial differential equations.

Item Type:Technical Report (Technical Report)
Subjects:H - N > Numerical analysis
Research Groups:Numerical Analysis Group
ID Code:1136
Deposited By:Lotti Ekert
Deposited On:12 May 2011 08:35
Last Modified:12 May 2011 08:35

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