Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations

DOI10.1090/S0025-5718-00-01224-2zbMath0956.60064OpenAlexW2017184650MaRDI QIDQ4517514

J. G. Gaines, Alexander M. Davie

Publication date: 22 November 2000

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0025-5718-00-01224-2

zbMATH Keywords

rate of convergencenumerical solutionstochastic partial differential equation

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cites Work

• Random Generation of Stochastic Area Integrals
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