Finite Difference Method
The finite difference method is a universally applicable numerical method for the solution of differential equations. In this chapter, for a sample parabolic partial differential equation, we introduce some difference schemes and analyze their convergence. We present the well-known Lax equivalence theorem and related theoretical results, and we apply them to the convergence analysis of difference schemes.
KeywordsDifference Scheme Finite Difference Method Convergence Order Finite Difference Approximation Local Truncation Error
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