Analysis of the stability and convergence of a finite difference approximation for stochastic partial differential equations

نویسندگان
Mohebbian, Ali ID 1
Namjoo, Mehran ID 2

1 Department of Mathematics, Vali-e-Asr University of Rafsanjan, Rafsanjan, Iran

2 Department of Mathematics, Vali-e-Asr University of Rafsanjan, Rafsanjan, Iran

doi
چکیده

‎In this paper‎, ‎an implicit finite difference scheme is proposed for the numerical solution of stochastic partial differential equations (SPDEs) of Ito type‎. ‎The consistency‎, ‎stability and convergence of the scheme is analyzed‎. ‎Numerical experiments are included to show the efficiency of the scheme‎.  

کلیدواژه‌ها
Stochastic partial differential equations‎, ‎Stochastic finite difference scheme‎, ‎Stability‎, ‎Consistency‎, ‎Convergence