Abstract
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.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 2275-2296 |
| Number of pages | 22 |
| Journal | SIAM Journal on Mathematical Analysis |
| Volume | 42 |
| Issue number | 5 |
| DOIs | |
| State | Published - 2010 |
Keywords
- Cauchy problem
- Extrapolation to the limit
- Finite differences
- Linear stochastic partial differential equations
- Richardson's method
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