scholarly journals Rate of convergence and error estimates for finite-difference schemes of solving linear ill-posed Cauchy problems of the second order

Author(s):  
М.М. Кокурин

Изучаются конечно-разностные схемы решения некорректных задач Коши для линейного дифференциально-операторного уравнения второго порядка в банаховом пространстве. Получены равномерные по времени оценки скорости сходимости и погрешности этих схем при наложении на искомое решение условия истокопредставимости. Найдены близкие друг к другу необходимые и достаточные условия в терминах показателя истокопредставимости для сходимости класса схем со степенной скоростью относительно шага дискретизации. Построены и изучены схемы полной дискретизации некорректных задач Коши второго порядка, сочетающие полудискретизацию по времени с дискретной аппроксимацией пространства и оператора. Finite-difference schemes of solving ill-posed Cauchy problems for linear second-order differential operator equations in Banach spaces are considered. Several time-uniform rate of convergence and error estimates are obtained for the considered schemes under the assumption that the sought solution satisfies the sourcewise condition. Necessary and sufficient conditions are found in terms of sourcewise index for a class of schemes with the power convergence rate with respect to the discretization step. A number of full discretization schemes for second-order ill-posed Cauchy problems are proposed on the basis of combining the half-discretization in time with the discrete approximation of the spaces and the operators.

Author(s):  
Olivier Bokanowski ◽  
Kristian Debrabant

Abstract Finite difference schemes, using backward differentiation formula (BDF), are studied for the approximation of one-dimensional diffusion equations with an obstacle term of the form $$\begin{equation*}\min(v_t - a(t,x) v_{xx} + b(t,x) v_x + r(t,x) v, v- \varphi(t,x))= f(t,x).\end{equation*}$$For the scheme building on the second-order BDF formula, we discuss unconditional stability, prove an $L^2$-error estimate and show numerically second-order convergence, in both space and time, unconditionally on the ratio of the mesh steps. In the analysis an equivalence of the obstacle equation with a Hamilton–Jacobi–Bellman equation is mentioned, and a Crank–Nicolson scheme is tested in this context. Two academic problems for parabolic equations with an obstacle term with explicit solutions and the American option problem in mathematical finance are used for numerical tests.


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