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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