Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II (Q1300248)
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English | Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II |
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Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II (English)
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18 September 2000
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[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.
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stochastic partial differential equations
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strong convergence
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finite difference approximations
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Lipschitz continuity
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