Department of Mathematics, Vali-e-Asr University of Rafsanjan, Rafsanjan, Iran
Abstract
In this paper, an implicit finite difference scheme is proposed for the numerical solution of stochastic partial differential equations (SPDEs) of Ito type. The consistency, stability and convergence of the scheme is analyzed. Numerical experiments are included to show the efficiency of the scheme.
Namjoo, M., & Mohebbian, A. (2019). Analysis of the stability and convergence of a finite difference approximation for stochastic partial differential equations. Computational Methods for Differential Equations, 7(3), 334-358.
MLA
Mehran Namjoo; Ali Mohebbian. "Analysis of the stability and convergence of a finite difference approximation for stochastic partial differential equations". Computational Methods for Differential Equations, 7, 3, 2019, 334-358.
HARVARD
Namjoo, M., Mohebbian, A. (2019). 'Analysis of the stability and convergence of a finite difference approximation for stochastic partial differential equations', Computational Methods for Differential Equations, 7(3), pp. 334-358.
VANCOUVER
Namjoo, M., Mohebbian, A. Analysis of the stability and convergence of a finite difference approximation for stochastic partial differential equations. Computational Methods for Differential Equations, 2019; 7(3): 334-358.
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