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Gardon, A. (2004) The Order of Approximation for Solutions of Ito-Type Stochastic Differential Equations with Jumps. Stochastic Analysis and Applications, 22, 679-699.

has been cited by the following article:

• TITLE: Mean Square Convergent Finite Difference Scheme for Stochastic Parabolic PDEs

  AUTHORS: W. W. Mohammed, M. A. Sohaly, A. H. El-Bassiouny, K. A. Elnagar

  KEYWORDS: Stochastic Partial Differential Equations, Mean Square Sense, Second Order Random Variable, Finite Difference Scheme

  JOURNAL NAME: American Journal of Computational Mathematics, Vol.4 No.4, August 29, 2014

  ABSTRACT: Stochastic partial differential equations (SPDEs) describe the dynamics of stochastic processes depending on space-time continuum. These equations have been widely used to model many applications in engineering and mathematical sciences. In this paper we use three finite difference schemes in order to approximate the solution of stochastic parabolic partial differential equations. The conditions of the mean square convergence of the numerical solution are studied. Some case studies are discussed.