Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations

Mathematics of Computation

Volumn 70, Issue 233, 2001, Pages 121-134

  Davie, A M ^a   Gaines, J G ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035605884     PISSN: 00255718     EISSN: None     Source Type: Journal    
DOI: 10.1090/s0025-5718-00-01224-2     Document Type: Article

References (4)

1. J. G. Gaines, Numerical experiments with S(P)DE's, Stochastic Partial Differential Equations (Cambridge) (A. M. Etheridge, ed.), London Mathematical Society Lecture Note Series 216, Cambridge University Press, 1995, pp. 55-71. MR 96k:60154
2. J. G. Gaines and T. J. Lyons, Random generation of stochastic area integrals, SIAM J. on Applied Math. 54 (1994), no. 4, 1132-1146. MR 95f:60063
3. I. Gyöngy, Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise II, Potential Anal. 11 (1999), 1-37. CMP 99:15
4. N. Ikeda and S. Watanabe, Stochastic differential equations and diffusion processes, North Holland, 1989. MR 90m:60069