On finite difference schemes for degenerate stochastic parabolic partial differential equations

DOI10.1007/S10958-011-0584-3MaRDI QIDQ2248589zbMATH OpenOpenAlexFDO

Authors István Gyöngy

Publication date 27 June 2014

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://www.pure.ed.ac.uk/ws/files/17973801/On_finite_difference_schemes_for_degenerate_stochastic_parabolic_partial_differential_equations.pdf

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cites work

• Accelerated finite difference schemes for linear stochastic partial differential equations in the whole space
• Accelerated finite difference schemes for second order degenerate elliptic and parabolic problems in the whole space
• Convergence acceleration during the 20th century
• Handbook of Numerical Analysis X. Special volume: Computational chemistry.
• scientific article; zbMATH DE number 5002671 (Why is no real title available?)
• scientific article; zbMATH DE number 3793154 (Why is no real title available?)
• scientific article; zbMATH DE number 3806881 (Why is no real title available?)
• Survey of Extrapolation Processes in Numerical Analysis

Cited in

(14)

• Approximation of stochastic parabolic differential equations with two different finite difference schemes
• On finite difference schemes for partial integro-differential equations of Lévy type
• Accelerated finite difference schemes for linear stochastic partial differential equations in the whole space
• Accelerated finite difference schemes for second order degenerate elliptic and parabolic problems in the whole space
• Accelerated numerical schemes for PDEs and SPDEs
• Finite difference schemes for linear stochastic integro-differential equations
• Rate of convergence of finite difference approximations for degenerate ordinary differential equations
• On stochastic finite difference schemes
• Accelerated finite difference schemes for second order degenerate elliptic and parabolic PDE's in the whole space
• Semi-discretization of stochastic partial differential equations on $\mathbb{R}^1$ by a finite-difference method
• Finite difference schemes for stochastic partial differential equations in Sobolev spaces
• Mean square convergent three and five points finite difference scheme for stochastic parabolic partial differential equations
• Numerical approximation of singular-degenerate parabolic stochastic partial differential equations
• Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type

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