On stochastic finite difference schemes

Abstract

Finite difference schemes in the spatial variable for degenerate stochastic parabolic PDEs are investigated. Sharp results on the rate of $L_p$ and almost sure convergence of the finite difference approximations are presented and results on Richardson extrapolation are established for stochastic parabolic schemes under smoothness assumptions.

References in corpus (1)

• Accelerated spatial approximations for time discretized stochastic partial differential equations