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Cites:

1

Information Journal Paper

Title

APPROXIMATION OF STOCHASTIC PARABOLIC DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT FINITE DIFFERENCE SCHEMES

Pages

  61-83

Abstract

 We focus on the use of two stable and accurate explicit finite difference schemes in order to approximate the solution of STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS of Ito type, in particular, parabolic equations. The main properties of these deterministic difference methods, i.e., CONVERGENCE, consistency, and STABILITY, are separately developed for the stochastic cases.

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  • Cite

    APA: Copy

    SOHEILI, A.R., NIASAR, M.B., & AREZOOMANDAN, M.. (2011). APPROXIMATION OF STOCHASTIC PARABOLIC DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT FINITE DIFFERENCE SCHEMES. BULLETIN OF THE IRANIAN MATHEMATICAL SOCIETY, 37(2), 61-83. SID. https://sid.ir/paper/571881/en

    Vancouver: Copy

    SOHEILI A.R., NIASAR M.B., AREZOOMANDAN M.. APPROXIMATION OF STOCHASTIC PARABOLIC DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT FINITE DIFFERENCE SCHEMES. BULLETIN OF THE IRANIAN MATHEMATICAL SOCIETY[Internet]. 2011;37(2):61-83. Available from: https://sid.ir/paper/571881/en

    IEEE: Copy

    A.R. SOHEILI, M.B. NIASAR, and M. AREZOOMANDAN, “APPROXIMATION OF STOCHASTIC PARABOLIC DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT FINITE DIFFERENCE SCHEMES,” BULLETIN OF THE IRANIAN MATHEMATICAL SOCIETY, vol. 37, no. 2, pp. 61–83, 2011, [Online]. Available: https://sid.ir/paper/571881/en

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