approximation of stochastic parabolic differential equations with two different finite difference schemes
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abstract
we focus on the use of two stable and accurate explicit finite difference schemes in order to approximate the solution of stochastic partial differential equations of it¨o type, in particular, parabolic equations. the main properties of these deterministic difference methods, i.e., convergence, consistency, and stability, are separately developed for the stochastic cases.
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full textapproximation of stochastic parabolic differential equations with two different finite difference schemes
we focus on the use of two stable and accurate explicit finite difference schemes in order to approximate the solution of stochastic partial differential equations of it¨o type, in particular, parabolic equations. the main properties of these deterministic difference methods, i.e., convergence, consistency, and stability, are separately developed for the stochastic cases.
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Journal title:
bulletin of the iranian mathematical societyجلد ۳۷، شماره No. ۲، صفحات ۶۱-۸۳
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