Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
In this article, we extend a Milstein finite difference scheme introduced in 8 for a certain linear stochastic partial differential equation (SPDE) to semi-implicit and fully implicit time-stepping as introduced by Szpruch 32 for stochastic differential equations (SDEs). We combine standard finite d...
| প্রধান লেখক: | |
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| বিন্যাস: | Journal article |
| ভাষা: | English |
| প্রকাশিত: |
2012
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