A Combination of Finite Difference and Wong-Zakai Methods for Hyperbolic Stochastic Partial Differential Equations

DOI10.1080/07362990500397764zbMath1086.60038OpenAlexW2005666831MaRDI QIDQ3375545

Christian J. Roth

Publication date: 14 March 2006

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

Full work available at URL: https://doi.org/10.1080/07362990500397764

zbMATH Keywords

consistency and stabilityconvergence in probabilityWong-Zakai approximationstochastic partial differential equations of Itô type

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cites Work

• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• Parabolic regularzation of a first order stochastic partial differential equation
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