AN EXPLICIT FINITE DIFFERENCE METHOD FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS

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NAMJOO M.

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Seminar Paper

Paper Information

Seminar: ANNUAL IRANIAN MATHEMATICS CONFERENCE
Year:2013 | Issue:44

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Title

AN EXPLICIT FINITE DIFFERENCE METHOD FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS

Author(s)

NAMJOO M. | Issue Writer Certificate

Keywords

STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS

STABILITY

CONSISTENCY

WIENER PROCESS

Abstract

THE PRESENT ARTICLE FOCUSES ON THE USE OF A DIFFERENCE SCHEME IN ORDER TO APPROXIMATE THE SOLUTIONS OF STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS (SPDES) OF ITO {TYPE. THE MAIN PROPERTIES OF DETERMINISTIC DIFFERENCE METHODS, I.E. CONSISTENCY AND STABILITY ARE INVESTIGATED FOR THE STOCHASTIC CASE. FROM STOCHASTIC VERSION OF LAX-RICHTMYER THEOREM THE CONVERGENCE OF THIS SCHEME IS ESTABLISHED.

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APA: Copy

NAMJOO, M.. (2013). AN EXPLICIT FINITE DIFFERENCE METHOD FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS. ANNUAL IRANIAN MATHEMATICS CONFERENCE. SID. https://sid.ir/paper/924495/en

Vancouver: Copy

NAMJOO M.. AN EXPLICIT FINITE DIFFERENCE METHOD FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS. 2013. Available from: https://sid.ir/paper/924495/en

IEEE: Copy

M. NAMJOO, “AN EXPLICIT FINITE DIFFERENCE METHOD FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS,” presented at the ANNUAL IRANIAN MATHEMATICS CONFERENCE. 2013, [Online]. Available: https://sid.ir/paper/924495/en

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