Accelerated finite difference schemes for stochastic partial differential equations in the whole space
Abstract
We give sufficient conditions under which the convergence of finite difference approximations in the space variable of the solution to the Cauchy problem for linear stochastic PDEs of parabolic type can be accelerated to any given order of convergence by Richardson's method.
- Publication:
-
arXiv e-prints
- Pub Date:
- June 2010
- DOI:
- arXiv:
- arXiv:1006.1389
- Bibcode:
- 2010arXiv1006.1389G
- Keywords:
-
- Mathematics - Probability;
- 65M06;
- 60H15;
- 65B05
- E-Print:
- 24 pages