Accelerated finite difference schemes for linear stochastic partial differential equations in the whole space

István Gyöngy; Nicolai Krylov

doi:10.1137/090781395

Accelerated finite difference schemes for linear stochastic partial differential equations in the whole space

István Gyöngy, Nicolai Krylov

Mathematics

Research output: Contribution to journal › Article › peer-review

24 Scopus citations

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.

Original language	English (US)
Pages (from-to)	2275-2296
Number of pages	22
Journal	SIAM Journal on Mathematical Analysis
Volume	42
Issue number	5
DOIs	https://doi.org/10.1137/090781395
State	Published - 2010

Keywords

Cauchy problem
Extrapolation to the limit
Finite differences
Linear stochastic partial differential equations
Richardson's method

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title = "Accelerated finite difference schemes for linear 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.",

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T1 - Accelerated finite difference schemes for linear stochastic partial differential equations in the whole space

AU - Gyöngy, István

AU - Krylov, Nicolai

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KW - Extrapolation to the limit

KW - Finite differences

KW - Linear stochastic partial differential equations

KW - Richardson's method

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Accelerated finite difference schemes for linear stochastic partial differential equations in the whole space

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