An Efficient Finite Difference Method for Stochastic Linear Second-Order Boundary-Value Problems Driven by Additive White Noises
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Publication:6197989
DOI10.4208/jcm.2205-m2021-0346MaRDI QIDQ6197989
Publication date: 20 February 2024
Published in: Journal of Computational Mathematics (Search for Journal in Brave)
Wiener processboundary-value problemsfinite-difference methodmean-square convergenceWong-Zakai approximationadditive white noise
Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference and finite volume methods for ordinary differential equations (65L12) Stochastic difference equations (39A50)
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