Weak Convergence of a Numerical Method for a Stochastic Heat Equation
โ Scribed by Tony Shardlow
- Book ID
- 110439750
- Publisher
- Springer Netherlands
- Year
- 2003
- Tongue
- English
- Weight
- 196 KB
- Volume
- 43
- Category
- Article
- ISSN
- 0006-3835
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
We consider a sequence of discrete parameter stochastic processes defined by solutions to stochastic difference equations. A condition is given that this sequence converges weakly to a continuous parameter process defined by solutions to a stochastic ordinary differential equation. Applying this res
We consider numerical stability and convergence of weak schemes solving stochastic differential equations. A relatively strong notion of stability for a special type of test equations is proposed. These are stochastic differential equations with multiplicative noise. For explicit and implicit Euler