Semi-discretization of stochastic partial differential equations on $\mathbb{R}^1$ by a finite-difference method

DOI10.1090/S0025-5718-99-01150-3zbMath0942.65006MaRDI QIDQ4942782

Hyek Yoo

Publication date: 15 March 2000

Published in: Mathematics of Computation (Search for Journal in Brave)

zbMATH Keywords

convergencefinite difference methodstochastic partial differential equationsystem of stochastic ordinary differential equations

Mathematics Subject Classification ID

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

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Cites Work

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• Stochastic partial differential equations in continuum physics - on the foundations of the stochastic interpolation method for Ito's type equations
• Discrete time Galerkin approximations to the nonlinear filtering solution
• Approximation of some stochastic differential equations by the splitting up method
• Semi-discretization of stochastic partial differential equations on r^dby a Finite-element Technique A. Germani
• Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
• On $L_p $-Theory of Stochastic Partial Differential Equations in the Whole Space

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