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Quantitative Finance · Glossaire

Qu'est-ce que « Truncation error, consistent and stable schemes » ?

Aussi appelé : truncation error · consistent scheme · stable scheme

Definition 27.2 Quantitative Methods · Chapitre 27 — Finite-Difference Methods

The truncation error of a scheme is the residual left when the exact solution is substituted into it. A scheme is a consistent scheme if its truncation error tends to zero with the steps, and a stable scheme if its solutions stay bounded, uniformly in the steps, over a fixed time interval.

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