On stochastic finite difference schemes
Probability
2013-10-01 v1
Abstract
Finite difference schemes in the spatial variable for degenerate stochastic parabolic PDEs are investigated. Sharp results on the rate of and almost sure convergence of the finite difference approximations are presented and results on Richardson extrapolation are established for stochastic parabolic schemes under smoothness assumptions.
Keywords
Cite
@article{arxiv.1309.7610,
title = {On stochastic finite difference schemes},
author = {Istvan Gyongy},
journal= {arXiv preprint arXiv:1309.7610},
year = {2013}
}