Mean Square Convergent Finite Difference Scheme for Stochastic Parabolic PDEs

• 作者: A. H. El-Bassiouny K. A. Elnagar M. A. Sohaly W. W. Mohammed
• 来源期刊: 美国计算数学期刊(英文)
• 学科: 数学
• 关键词: STOCHASTIC PARTIAL Differential Equations Mean SQUARE SENSE Second Order Random Variable Finite Difference Scheme
• 年，卷（期）: 2014,（4）
• 页码范围: 280-288
• 页数: 9页
• 分类号: O1

摘要

Stochastic partial differential equations (SPDEs) describe the dynamics of stochastic processes depending on space-time continuum. These equations have been widely used to model many applications in engineering and mathematical sciences. In this paper we use three finite difference schemes in order to approximate the solution of stochastic parabolic partial differential equations. The conditions of the mean square convergence of the numerical solution are studied. Some case studies are discussed.