On stochastic finite difference schemes

2013/09/29 by Istvan Gyongy, István Gyöngy, Gyongy, Istvan
Economics, Econometrics and Finance · Mathematics · #Differential Equations and Numerical Methods #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR

paper · pdf · doi:10.48550/arxiv.1309.7610

arxiv created 2013/09/29 · openalex publication_date 2013/09/29 · arxiv updated 2013/10/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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