Numerical solutions for a class stochastic partial differential equations

Abstract

The aim of this manuscript is to introduce and analyze a stochastic finite difference scheme for Ito stochastic partial differential equations. We also discuss the consistency, stability, and convergence for the stochastic finite difference scheme. The numerical simulations obtained from the proposed stochastic finite difference scheme show the efficiency of the suggested stochastic finite difference scheme.

Keywords

• stochastic partial differential equations
• stochastic finite difference scheme
• stability
• consistency
• convergence