New answers tagged parabolic-pde
0
Verification of order of convergence of Implicit Euler Method to numerically solve Black-Scholes PDE
You forgot to multiply the norm of the difference between the numerical solution and the exact one by the discretization step. In your case it is enough to divide the err_n by Nt when computing the order of time discretization, and by NS when computing the order of space discretization. I got a perfect first order accuracy for the time discretization, in the ...
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Let's reconstruct this from first principles:
Defining the ODE system
In the method-of-lines discretization you solve an ODE system $\dot U=F(U)$, $U=(U_0,U_1,...,U_{M+1})$, $U_k(t)=u(x_k,t)$, and similarly $F=(F_0,F_1...,F_{M+1})$. Because of the boundary conditions
$$
u(x, 0) = 40 · x^2 · (1 - x) / 3
\\
u(0, t) = u(1, t) = 0
$$
$U_0=U_{M+1}=0$ and ...
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