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.
SOHEILI, A., NIASAR, M. & AREZOOMANDAN, M. (2011). APPROXIMATION OF STOCHASTIC PARABOLIC
DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT
FINITE DIFFERENCE SCHEMES. Bulletin of the Iranian Mathematical Society, 37(No. 2), 61–83.
MLA
SOHEILI, A., NIASAR, M., & AREZOOMANDAN, M. "APPROXIMATION OF STOCHASTIC PARABOLIC
DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT
FINITE DIFFERENCE SCHEMES", Bulletin of the Iranian Mathematical Society, 37, No. 2, 2011, 61–83.
HARVARD
SOHEILI, A., NIASAR, M., & AREZOOMANDAN, M. (2011). 'APPROXIMATION OF STOCHASTIC PARABOLIC
DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT
FINITE DIFFERENCE SCHEMES', Bulletin of the Iranian Mathematical Society, 37(No. 2), pp. 61–83.
CHICAGO
SOHEILI, A., NIASAR, M. & AREZOOMANDAN, M., "APPROXIMATION OF STOCHASTIC PARABOLIC
DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT
FINITE DIFFERENCE SCHEMES." Bulletin of the Iranian Mathematical Society, 37 No. 2 (2011): 61–83,
VANCOUVER
SOHEILI A., NIASAR M., AREZOOMANDAN M. APPROXIMATION OF STOCHASTIC PARABOLIC
DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT
FINITE DIFFERENCE SCHEMES. BIMS. 2011;37(No. 2):61–83.
