On the discretization in time of parabolic stochastic partial differential equations

DOI10.1515/mcma.2001.7.3-4.359zbMath1007.65005OpenAlexW2151306063MaRDI QIDQ5890275

Jacques Printems

Publication date: 9 March 2003

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

Full work available at URL: http://www.numdam.org/item?id=M2AN_2001__35_6_1055_0/

zbMATH Keywords

stabilityconvergenceevolution equationsemi-discretizationEuler schemeparabolic stochastic partial differential equation

Mathematics Subject Classification ID

Abstract parabolic equations (35K90) 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) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

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