Finite Difference Approximation for Linear Stochastic Partial Differential Equations with Method of Lines
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References listed on IDEAS
- Ma, Jin & Yong, Jiongmin, 1997. "Adapted solution of a degenerate backward spde, with applications," Stochastic Processes and their Applications, Elsevier, vol. 70(1), pages 59-84, October.
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KeywordsFinite difference approximation; linear stochastic partial differential equations (SPDEs); the method of lines (MOL);
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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