Numerical methods for stochastic parabolic PDEs
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convergencefinite differenceinitial value problemnonlinear stochastic partial differential equationnumerical experimentsWiener process
Nonlinear parabolic equations (35K55) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic methods, stochastic differential equations (65C99) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
This paper presents a proof of the convergence of finite difference approximations of the solution of the nonlinear stochastic partial differential equation initial value problem of the form \[ du(t)= \Biggl[{\partial^2u(t)\over\partial x^2}+ f(u(t))\Biggr] dt+ dB(t),\quad u(0)= U, \] where \(B(t)\) is a Wiener process. It concludes with a brief summary of results obtained in numerical experiments with \(f=0\) and with \(f= .5(u- u^3)\).
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