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RISHarnack inequality for semilinear SPDE with multiplicative noise
Strong uniqueness for an SPDE via backward doubly stochastic differential equations
A NUMERICAL SCHEME OF HIGHER ORDER FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
We consider the numerical approximation of stochastic partial differential equation driven by additive space-time white noise. we introduce a new numerical scheme for the time discretization
of the finite-dimensional SPDE, which we call...
Local and global existence of smooth solutions for the stochastic Euler equations with multiplicative noise
APPROXIMATION OF STOCHASTIC PARABOLIC DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT FINITE DIFFERENCE SCHEMES
The present article focuses on the use of two stable and accurate explicit finite difference schemes in order to approximate the solution of stochastic partial differential equations of It ̈o type, in particular parabolic equations. The main notions...
Approximation of Stochastic Parabolic Differential Equations with Saul yev Methods
The present article focuses on the use of a saul yev scheme
in order to approximate the solution of stochastic partial
differential equations of Ito type, in particular parabolic
equations. The main ...
On accuracy and unconditional stability of an explicit Milstein finite difference scheme for a financial SPDE
This article describes a new Milestein finite difference scheme based on alternating
direction methods for a stochastic partial differential equation (SPDE) in portfolio credit modelling.
The stochastic evolution equation describes a...
On accuracy and unconditional stability of an explicit Milstein finite difference scheme for a financial SPDE
This article describes a new Milstein finite difference scheme based on alternating
direction methods for a stochastic partial differential equation (SPDE) in portfolio credit modelling.
The stochastic evolution equation describes a...
Approximation of stochastic advection-diffusion equation using compact finite difference technique
In this paper, we propose a new method for solving the stochastic advection-diffusion equation of Ito type. In this work, we use a compact finite difference approximation for discretizing spatial derivatives of mentioned ...