期刊名称：American Journal of Computational Mathematics
印刷版ISSN：2161-1203
电子版ISSN：2161-1211
出版年度：2014
卷号：04
期号：04
页码：280-288
DOI：10.4236/ajcm.2014.44024
语种：English
出版社：Scientific Research Publishing
摘要：Stochastic partial differential equations (SPDEs) describe the dynamics of stochastic processes depending on space-time continuum. These equations have been widely used to model many applications in engineering and mathematical sciences. In this paper we use three finite difference schemes in order to approximate the solution of stochastic parabolic partial differential equations. The conditions of the mean square convergence of the numerical solution are studied. Some case studies are discussed.
关键词：Stochastic Partial Differential Equations; Mean Square Sense; Second Order Random Variable; Finite Difference Scheme
