Mean Square Convergent Finite Difference Scheme for Stochastic Parabolic PDEs

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DOI: 10.4236/ajcm.2014.44024    4,377 Downloads   5,495 Views  Citations

ABSTRACT

Stochastic partial differential equations (SPDEs) describe the dynamics of stochastic processes depending on space-time continuum. These equations have been widely used to model many applications in engineering and mathematical sciences. In this paper we use three finite difference schemes in order to approximate the solution of stochastic parabolic partial differential equations. The conditions of the mean square convergence of the numerical solution are studied. Some case studies are discussed.

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Mohammed, W. , Sohaly, M. , El-Bassiouny, A. and Elnagar, K. (2014) Mean Square Convergent Finite Difference Scheme for Stochastic Parabolic PDEs. American Journal of Computational Mathematics, 4, 280-288. doi: 10.4236/ajcm.2014.44024.

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