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نمایش تعداد 1-10 از 14

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    Harnack inequality for semilinear SPDE with multiplicative noise 

    نوع: Journal Paper
    نویسنده : Zhang, Shao
    ناشر: Elsevier Science
    سال: 2013

    Strong uniqueness for an SPDE via backward doubly stochastic differential equations 

    نوع: Journal Paper
    ناشر: Elsevier Science
    سال: 2013

    A NUMERICAL SCHEME OF HIGHER ORDER FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS 

    نوع: Conference Paper
    نویسنده : علیرضا سهیلی; Somayeh Sarvari; Ali Reza Soheili
    سال: 2011
    خلاصه:

    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 

    نوع: Journal Paper
    نویسنده : Glatt - Vicol, Vlad C.
    ناشر: The Institute of Mathematical Statistics
    سال: 2014

    APPROXIMATION OF STOCHASTIC PARABOLIC DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT FINITE DIFFERENCE SCHEMES 

    نوع: Journal Paper
    نویسنده : علیرضا سهیلی; M. B. Niasar; M. Arezoomandan; Ali Reza Soheili
    سال: 2011
    خلاصه:

    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 

    نوع: Conference Paper
    نویسنده : علیرضا سهیلی; M. Arezomandan; M. B. Niasar; Ali Reza Soheili
    سال: 2008
    خلاصه:

    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 

    نوع: Conference Paper
    نویسنده : مهدیه ارزومندان مفرد; علیرضا سهیلی; Mahdieh Arezoomandan; Ali Reza Soheili
    سال: 2017
    خلاصه:

    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 

    نوع: Conference Paper
    سال: 2017
    خلاصه:

    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 

    نوع: Journal Paper
    نویسنده : M. Bishehniasar; علیرضا سهیلی; Ali Reza Soheili
    سال: 2013
    خلاصه:

    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 ...

    The obstacle problem for quasilinear stochastic PDEs: Analytical approach 

    نوع: Journal Paper
    نویسنده : Denis, Laurent - Matoussi, Anis - Zhang, Jing
    ناشر: The Institute of Mathematical Statistics
    سال: 2014
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