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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Journal title

volume 37  issue No. 2

pages  61- 83

publication date 2011-07-15

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