Analysis of the stability and convergence of a finite difference approximation for stochastic partial differential equations

‎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.

کلیدواژه ها:

Stochastic partial differential equations‎ ، ‎Stochastic finite difference scheme‎ ، ‎Stability‎ ، ‎Consistency‎ ، ‎Convergence