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

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

2010-06-07

arxiv.org/abs/1006.1389v1

Mathematics

Probability

24 pages

Scientific paper

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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