On stochastic finite difference schemes

DOI10.1007/s40072-014-0039-1zbMath1311.65005arXiv1309.7610OpenAlexW1968290647MaRDI QIDQ487686

István Gyöngy

Publication date: 23 January 2015

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.7610

zbMATH Keywords

Cauchy problemfinite differenceserror estimatedegenerate parabolic stochastic partial differential equationextrapolation to the limitRichardson's method

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) 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)

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Cites Work

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• Practical Extrapolation Methods
• Accelerated Spatial Approximations for Time Discretized Stochastic Partial Differential Equations
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• Expansion of the global error for numerical schemes solving stochastic differential equations
• Stochastic evolution equations
• Convergence acceleration during the 20th century
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