A Note on Single-Step Difference Scheme for the Solution of Stochastic Differential Equation

IF 0.8 Q2 MATHEMATICS Lobachevskii Journal of Mathematics Pub Date : 2024-08-22 DOI:10.1134/s1995080224601164
A. Ashyralyev, U. Okur, C. Ashyralyyev
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Abstract

This is a discuss on the application of operator approach to stochastic partial differential equations with dependent coefficients. Single step difference schemes generated by exact difference scheme for an abstract Cauchy problem for the solution of stochastic differential equation in a Hilbert space with the time-dependent positive operator are presented. The main theorems of the convergence of these difference schemes for the approximate solutions of the time-dependent abstract Cauchy problem for the parabolic equations are established. In applications, the convergence estimates for the solution of difference schemes for stochastic parabolic differential equations are obtained. Numerical results for the \({1}/{2}\) order of accuracy difference schemes of the approximate solution of mixed problems for stochastic parabolic equations with Dirichlet and Neumann conditions are provided. Numerical results are given.

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关于解决随机微分方程的单步差分方案的说明
摘要 本文讨论了算子方法在具有依存系数的随机偏微分方程中的应用。本文介绍了由精确差分方案生成的单步差分方案,用于求解希尔伯特空间中具有时间依赖正算子的随机微分方程的抽象考奇问题。建立了这些差分方案对抛物方程的时变抽象考奇问题近似解的收敛性的主要定理。在应用中,获得了随机抛物微分方程差分方案解的收敛估计。提供了具有 Dirichlet 和 Neumann 条件的随机抛物方程混合问题近似求解的 \({1}/{2}\) 阶精度差分方案的数值结果。给出了数值结果。
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来源期刊
CiteScore
1.50
自引率
42.90%
发文量
127
期刊介绍: Lobachevskii Journal of Mathematics is an international peer reviewed journal published in collaboration with the Russian Academy of Sciences and Kazan Federal University. The journal covers mathematical topics associated with the name of famous Russian mathematician Nikolai Lobachevsky (Lobachevskii). The journal publishes research articles on geometry and topology, algebra, complex analysis, functional analysis, differential equations and mathematical physics, probability theory and stochastic processes, computational mathematics, mathematical modeling, numerical methods and program complexes, computer science, optimal control, and theory of algorithms as well as applied mathematics. The journal welcomes manuscripts from all countries in the English language.
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