On implicit and explicit discretization schemes for parabolic SPDEs in any dimension

Stochastic Processes and their Applications

Volumn 115, Issue 7, 2005, Pages 1073-1106

  Millet, Annie ^a,b   Morien, Pierre Luc ^c  

^a SORBONNE UNIVERSITÉ   (France)

^b University Paris I Sorbonne Panthéon   (France)

^c UNIVERSITÉ PARIS OUEST NANTERRE LA DÉFENSE   (France)

Author keywords

Gaussian noise; Green function; Implicit and explicit space time discretization schemes; Numerical simulations; Parabolic SPDE; Space correlation; Speed of convergence

Indexed keywords

BOUNDARY CONDITIONS; COMPUTER SIMULATION; CONVERGENCE OF NUMERICAL METHODS; CORRELATION METHODS; GAUSSIAN NOISE (ELECTRONIC); GREEN'S FUNCTION; INTEGRAL EQUATIONS; PROBABILITY;

IMPLICIT AND EXPLICIT SPACE-TIME DISCRETIZATION SCHEMES; PARABOLIC PARTIAL DIFFERENTIAL EQUATIONS; SPACE CORRELATION; SPEED OF CONVERGENCE; STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS;

PARTIAL DIFFERENTIAL EQUATIONS;

EID: 20344379438     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2005.02.004     Document Type: Article

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