Convergence of the Euler scheme for stochastic functional partial differential equations

DOI10.1016/S0096-3003(03)00792-6zbMath1059.65008MaRDI QIDQ1883553

Wei-Guo Zhang, Zan-Kan Nie, Qi-min Zhang

Publication date: 13 October 2004

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

zbMATH Keywords

convergenceLyapunov functionstochastic partial differential equationEuler approximationlinear growth condition

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

The numerical approximation of stochastic partial differential equations ⋮ Stability in mean of partial variables for stochastic reaction diffusion systems ⋮ Convergence of numerical solutions for a class of stochastic age-dependent capital system with random jump magnitudes ⋮ A stochastic local discontinuous Galerkin method for stochastic two-point boundary-value problems driven by additive noises ⋮ Theory and application of stability for stochastic reaction diffusion systems

Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
• Almost sure exponential stability of neutral stochastic differential difference equations
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