Euler Scheme for a Stochastic Goursat Problem

DOI10.1081/SAP-120028590zbMath1065.60078OpenAlexW2002221852MaRDI QIDQ3158137

Yenkun Huang, Che-Yuan Tsai

Publication date: 20 January 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120028590

zbMATH Keywords

rate of convergenceEuler schememean-square convergencestochastic Goursat problemtwo-parameter Gronwall inequality

Mathematics Subject Classification ID

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) Stochastic integral equations (60H20)

Cites Work

• 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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