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.
Quantitative Finance · Begrippenlijst
Wat is Truncation error, consistent and stable schemes?
Ook bekend als: truncation error · consistent scheme · stable scheme