Solving parabolic stochastic partial differential equations via averaging over characteristics

Mathematics of Computation

Volumn 78, Issue 268, 2009, Pages 2075-2106

  Milstein, G N ^a   Tretyakov, M V ^b  

^a URAL FEDERAL UNIVERSITY   (Russian Federation)

^b UNIVERSITY OF LEICESTER   (United Kingdom)

Author keywords

Layer methods; Mean square and almost sure convergence; Monte carlo technique; Numerical integration of stochastic differential equations; Probabilistic representations of solutions of stochastic partial differential equations

Indexed keywords

EID: 67649644310     PISSN: 00255718     EISSN: None     Source Type: Journal    
DOI: 10.1090/S0025-5718-09-02250-9     Document Type: Article

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