An approximation of semigroups method for stochastic parabolic equations

DOI10.1155/2012/684248MaRDI QIDQ1938273zbMATH OpenOpenAlexWikidataFDO

Authors Allaberen Ashyralyev, Mehmet Emin San

Publication date 4 February 2013

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2012/684248

zbMATH Keywords

convergencenonlocal-boundary value problemnumerical examplessingle-step difference schemestochastic parabolic equations

Mathematics Subject Classification ID

Second-order parabolic equations (35K10) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Review text

Summary: A single-step difference scheme for the numerical solution of the nonlocal-boundary value problem for stochastic parabolic equations is presented. The convergence estimate for the solution of the difference scheme is established. In application, the convergence estimates for the solution of the difference scheme are obtained for two nonlocal-boundary value problems. The theoretical statements for the solution of this difference scheme are supported by numerical examples.

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Cites work

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• scientific article; zbMATH DE number 3826926 (Why is no real title available?)
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Cited in

(6)

• Semigroup solution of path-dependent second-order parabolic partial differential equations
• scientific article; zbMATH DE number 1532120 (Why is no real title available?)
• Approximation of the solution to the parabolic equation driven by stochastic measure
• A note on single-step difference scheme for the solution of stochastic differential equation
• A note on the Crank-Nicolson difference scheme for the numerical solution of stochastic parabolic equation
• Time multipoint nonlocal problem for a stochastic Schrödinger equation

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