Article2006

On numerical solution of stochastic partial differential equations of elliptic type

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Stochastic processes and statistical mechanics

Abstract

We study lattice approximations of stochastic PDEs of elliptic type, driven by a white noise on a bounded domain in ℝ d , for d = 1, 2, 3. We obtain estimates for the rate of convergence of the approximations.

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2006An introduction to stochastic partial differential equations 1999Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II 1998Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations Driven by Space-Time White Noise I

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2017Finite element approximations for second-order stochastic differential equation driven by fractional Brownian motion

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