On numerical approximation of stochastic Burgers' equation

被引：35
|
作者：
Alabert, A [1 ]
Gyöngy, I
机构：
[1] Univ Autonoma Barcelona, Dept Matemat, Bellaterra 08193, Catalonia, Spain
[2] Univ Edinburgh, Sch Mat, Edinburgh EH9 3JZ, Midlothian, Scotland
来源：
FROM STOCHASTIC CALCULUS TO MATHEMATICAL FINANCE: THE SHIRYAEV FESTSCHRIFT | 2006年
关键词：
SPDE; Burgers' equation;
D O I：
10.1007/978-3-540-30788-4_1
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We present a finite difference scheme for stochastic Burgers' equation driven by space-time white noise. We estimate the rate of convergence of the the numerical scheme to the solution of stochastic Burgers's equation.
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页码：1 / +
页数：2
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