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Approximation of stochastic parabolic differential equations with two different finite difference schemes. (English) Zbl 1260.60124

Summary: 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 ltĂ´ 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.

MSC:

60H15 Stochastic partial differential equations (aspects of stochastic analysis)
65M06 Finite difference methods for initial value and initial-boundary value problems involving PDEs
60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
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