The role of coefficients of a general SPDE on the stability and convergence of a finite difference method (Q972748): Difference between revisions
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| Language | Label | Description | Also known as |
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| English | The role of coefficients of a general SPDE on the stability and convergence of a finite difference method |
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The role of coefficients of a general SPDE on the stability and convergence of a finite difference method (English)
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21 May 2010
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This paper considers an explicit and an implicit finite difference scheme for the numerical solution of linear stochastic partial differential equations of Itô type, where the stochastic component occurs linearly in the first spatial derivative and the unknown solution. Consistency and stability properties are proved and some simple numerical tests are reported.
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stochastic partial differential equations
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mean square stability
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stochastic Lax-Richtmyer
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consistency
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stability
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