Weak approximations of solutions of a first order hyperbolic stochastic partial differential equation

DOI10.1515/mcma.2007.007zbMath1138.65006OpenAlexW1996832452WikidataQ115235987 ScholiaQ115235987MaRDI QIDQ5421245

Christian J. Roth

Publication date: 22 October 2007

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2007.007

zbMATH Keywords

stabilitydifference methodsLax-Richtmyer theoremstochastic partial differential equations of Itô typeconvergence, consistencyhyperbolic Itô equations

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)

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The numerical approximation of stochastic partial differential equations ⋮ A Lax equivalence theorem for stochastic differential equations ⋮ A Milstein scheme for SPDEs

Cites Work

• Parabolic regularzation of a first order stochastic partial differential equation