Difference methods for stochastic partial differential equations

ZAMM Zeitschrift fur Angewandte Mathematik und Mechanik

Volumn 82, Issue 11-12, 2002, Pages 821-830

  Roth, Ch ^a  

^a MARTIN LUTHER UNIVERSITY HALLE WITTENBERG   (Germany)

Author keywords

Consistency; Convergence; Difference methods; Stability; Stochastic partial differential equations of it type

Indexed keywords

EID: 33748488073     PISSN: 00442267     EISSN: 15214001     Source Type: Journal    
DOI: 10.1002/1521-4001(200211)82:11/12<821::AID-ZAMM821>3.0.CO;2-L     Document Type: Article

References (8)

1. BRACE, A.; MUSIELA, M.: A multifactor Gauss Markov implementation of Heath, Jarrow and Morton. Math. Finance 4 (1994) 3, 259-283.
2. GRECKSCH, W.; TUDOR, C.: Stochastic evolution equations. Akademie Verlag, Berlin 1995.
3. GRECKSCH, W.; TUDOR, C.: Parabolic regulariżation of a first order stochastic partial differential equation. Stochastic Analysis Appl. 18 (2000) 3, 397-416.
4. KUNITA, H.: First order stochastic partial differential equations. Stochastic Analysis. Taniguchi Symp., Kataya 1982, 249-269.
5. ROTH, C.: Approximations of solutions of a first order stochastic partial differential equation. Report, Institut Optimierung und Stochastik, Martin-Luther-Universität Halle-Wittenberg, Halle 2001.
6. STRIKWERDA, J. C.: Finite difference schemes and partial differential equations. Wadsworth&Brooks/Cole Pacific Grove, California 1989.
7. THOMAS, J. W.: Numerical partial differential equations, finite difference methods, TAM 22. Springer-Verlag, New York 1995.
8. VEQUE, R. J. L.: Numerical methods for conservation laws. 2nd ed. Birkhäuser Verlag, Basel 1992.