%0 Journal Article
%T APPROXIMATION OF STOCHASTIC PARABOLIC
DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT
FINITE DIFFERENCE SCHEMES
%J Bulletin of the Iranian Mathematical Society
%I Springer and the Iranian Mathematical Society (IMS)
%Z 1017-060X
%A SOHEILI, A.
%A NIASAR, M.
%A AREZOOMANDAN, M.
%D 2011
%\ 07/15/2011
%V 37
%N No. 2
%P 61-83
%! APPROXIMATION OF STOCHASTIC PARABOLIC
DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT
FINITE DIFFERENCE SCHEMES
%K Stochastic partial differential equations
%K finite difference methods
%K Saul’yev methods
%K convergence
%K Stability
%K Wiener process
%R
%X 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 ItÂ¨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.
%U http://bims.iranjournals.ir/article_325_50c2301dc8a08d7ed9e358edb432b737.pdf