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In ODE theory, if we have $$y' = f(t, y),\ y(0) = c$$ and $$x' = f(t, x)+g(t, x),\ x(0) = c+d$$ we are able to say that $|x(t)-y(t)|<m|g(t)|+n|d|$.

Is there an analogy theorem in PDE? Suppose I have a second-order linear parabolic pde $$u_t = Lu,\ u(x, 0) = u_0(x)$$

Consider a similar pde with a perturbation term $$\hat u_t = L\hat u+f(x,t),\ \hat u(x, 0) = u_0(x)+g(x)$$

Are we able to solve the bound of $|u-\hat u|$?


Update:

My target pde is black-scholes equation. Its domain is $[0,\infty]\times [0, T]$ where T is a constant. And the $[0,\infty]$ can be truncated to $[0, S_{Max}]$.

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  • $\begingroup$ What you are looking for a standard estimates for parabolic equations. Usually you have some restrictions on the operator (especially a lower bound on the differential part) and the domain. $\endgroup$
    – maxmilgram
    Sep 20, 2019 at 17:37
  • $\begingroup$ @maxmilgram Sorry I didn't realize that. My target pde is black-scholes equation. Its domain is $[0,\infty]\times [0, T]$ where T is a constant. And the $[0,\infty]$ can be truncated to $[0, S_{Max}]$. $\endgroup$
    – Wenzel
    Sep 20, 2019 at 17:40

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