Strong scheme for a stochastic Goursat problem.
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Publication:1427648
DOI10.1016/S0096-3003(03)00237-6zbMath1041.60052MaRDI QIDQ1427648
Che-Yuan Tsai, Shu-Shiang Huang, Yenkun Huang
Publication date: 14 March 2004
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Theoretical approximation in context of PDEs (35A35) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic integral equations (60H20)
Cites Work
- Approximation of the stochastic Navier-Stokes equation
- Existence of strong solutions for stochastic differential equations in the plane
- Stochastic equations of hyperbolic type and a two-parameter Stratonovich calculus
- Stochastic integrals in the plane
- Weak martingales and stochastic integrals in the plane
- An extension of stochastic integrals in the plane
- On the approximation of stochastic partial differential equations i
- A splitting method for stochastic goursat problem
- Time-discretised Galerkin approximations of parabolic stochastic PDE's
- Martingales and stochastic integrals for processes with a multi-dimensional parameter
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