TY - JOUR
ID - 325
TI - APPROXIMATION OF STOCHASTIC PARABOLIC
DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT
FINITE DIFFERENCE SCHEMES
JO - Bulletin of the Iranian Mathematical Society
JA - BIMS
LA - en
SN - 1017-060X
AU - SOHEILI, A.
AU - NIASAR, M.
AU - AREZOOMANDAN, M.
AD -
Y1 - 2011
PY - 2011
VL - 37
IS - No. 2
SP - 61
EP - 83
KW - Stochastic partial differential equations
KW - finite difference methods
KW - Saul’yev methods
KW - convergence
KW - Stability
KW - Wiener process
DO -
N2 - 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.
UR - http://bims.iranjournals.ir/article_325.html
L1 - http://bims.iranjournals.ir/article_325_50c2301dc8a08d7ed9e358edb432b737.pdf
ER -