Open Access
P. E. Kloeden, S. Shott, "Linear-implicit strong schemes for Itô-Galkerin approximations of stochastic PDE
Linear-implicit strong schemes for Itô-Galkerin approximations of stochastic PDEs
Abstract
Linear-implicit versions of strong Taylor numerical schemes for finite
dimensional Itô stochastic differential equations (SDEs) are shown to have
the same order as the original scheme. The combined truncation and
global discretization error of an
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Copyright © 2001 Hindawi Publishing Corporation. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.