Converegence of a finite difference method for the heat equation—interpolation technique

Abstract

In this paper we show how the theory of interpolation of function spaces can be used to establish convergence rate estimates for finite difference schemes. As a model problem we consider the first initial-boundary value problem for the heat equation with variable coefficients in a domain $(0,1)^2\times (0,T]$.We assume that the solution of the problem and the coefficients of equation belong to corresponding Sobolev spaces. Using interpolation theory we construct a fractional-order convergence rate estimate which is consistent with the smoothness of the data.