Rate of convergence of finite-difference approximations for degenerate linear parabolic equations with $C^1$ and $C^2$ coefficients

Abstract

We consider degenerate parabolic and elliptic equations of second order with $C^1$ and $C^2$ coefficients. Error bounds for certain types of finite-difference schemes are obtained.

Keywords

• Finite-difference approximations
• linear elliptic and parabolic equations.