Method of lines for parabolic stochastic functional partial differential equations
We approximate parabolic stochastic functional differential equations substituting the derivatives in the space variable by finite differences. We prove the stability of the method of lines corresponding to a parabolic SPDE driven by Brownian motion.
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| Format: | Article |
| Language: | English |
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AGH Univeristy of Science and Technology Press
2014-01-01
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| Series: | Opuscula Mathematica |
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| Online Access: | http://www.opuscula.agh.edu.pl/vol34/2/art/opuscula_math_3427.pdf |