scientific article; zbMATH DE number 5556214

MaRDI QIDQ3626095zbMATH OpenFDO

Authors Yuanyuan Duan, Wei Wang, Xiaoyuan Yang

Publication date 22 May 2009

zbMATH Keywords

Crank-Nicolson schemeerror estimatefinite element methodstochastic partial differential equation of parabolic type

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

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(5)

• Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
• Error Estimates of Crank–Nicolson-Type Difference Schemes for the Subdiffusion Equation
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• Finite difference schemes for stochastic partial differential equations in Sobolev spaces
• Asymptotic error distributions of the Crank-Nicholson scheme for SDEs driven by fractional Brownian motion

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