Euler Scheme for a Stochastic Goursat Problem

DOI10.1081/SAP-120028590MaRDI QIDQ3158137zbMATH OpenOpenAlexFDO

Authors Yenkun Huang, Che-Yuan Tsai

Publication date 20 January 2005

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sap-120028590

zbMATH Keywords

Euler schememean-square convergencerate of convergencestochastic Goursat problemtwo-parameter Gronwall inequality

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• A splitting method for stochastic goursat problem
• An extension of stochastic integrals in the plane
• Existence of strong solutions for stochastic differential equations in the plane
• Martingales and stochastic integrals for processes with a multi-dimensional parameter
• On the approximation of stochastic partial differential equations i
• Stochastic equations of hyperbolic type and a two-parameter Stratonovich calculus
• Stochastic integrals in the plane
• Time-discretised Galerkin approximations of parabolic stochastic PDE's
• Weak martingales and stochastic integrals in the plane

Cited in

(2)

• Strong scheme for a stochastic Goursat problem.
• EURANDOM: a decade of European stochastics

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