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Stability of Central Finite Difference Schemes on Non–Uniform Grids for 1D Partial Differential Equations with Variable Coefficients
This paper deals with stability in the numerical solution of general one‐dimensional partial differential equations with variable coefficients. We will generalize stability results for central finite difference schemes on non‐uniform grids that were obtained by In't Hout & Volders (2009) for the Black‐Scholes equation. Subsequently we will apply our stability …