Rate of convergence of finite difference approximations for degenerate ordinary differential equations |
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Authors: | Jianfeng Zhang |
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Institution: | Department of Mathematics, University of Southern California, 3620 Vermont Ave., KAP 108, Los Angeles, California 90089 |
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Abstract: | In this paper we study finite difference approximations for the following linear stationary convection-diffusion equations: where is allowed to be degenerate. We first propose a new weighted finite difference scheme, motivated by approximating the diffusion process associated with the equation in the strong sense. We show that, under certain conditions, this scheme converges with the first order rate and that such a rate is sharp. To the best of our knowledge, this is the first sharp result in the literature. Moreover, by using the connection between our scheme and the standard upwind finite difference scheme, we get the rate of convergence of the latter, which is also new. |
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Keywords: | Degenerate convection-diffusion equations finite difference approximations probabilistic solutions sharp rate of convergence |
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