Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II (Q1300248)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
scientific article

    Statements

    Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II (English)
    0 references
    0 references
    18 September 2000
    0 references
    [For part I see ibid. 9, No. 1, 1-25 (1998; Zbl 0915.60069).] The paper approximates quasi-linear parabolic stochastic differential equations by substituting derivatives with finite difference approximations. Implicit and explicit methods are studied. Strong convergence is shown. When Lipschitz continuity is not given, then convergence in probability is still obtained.
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    stochastic partial differential equations
    0 references
    strong convergence
    0 references
    finite difference approximations
    0 references
    Lipschitz continuity
    0 references