Iranian Mathematical Society (IMS)Bulletin of the Iranian Mathematical Society1017-060X37No. 220110715APPROXIMATION OF STOCHASTIC PARABOLIC
DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT
FINITE DIFFERENCE SCHEMES6183325ENA.SOHEILIM.NIASARM.AREZOOMANDANJournal Article20081221We 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.http://bims.iranjournals.ir/article_325_50c2301dc8a08d7ed9e358edb432b737.pdf