183
Views
19
CrossRef citations to date
0
Altmetric
Original Articles

A Combination of Finite Difference and Wong-Zakai Methods for Hyperbolic Stochastic Partial Differential Equations

Pages 221-240 | Received 01 Jun 2005, Accepted 01 Jul 2005, Published online: 15 Feb 2007

REFERENCES

  • Brace , A. , and M. Musiela . 1994 . A multifactor Gauss Markov implementation of Heath, Jarrow and Morton . Mathematical Finance 4 ( 3 ): 259 – 283 . [CSA]
  • Grecksch , W. , and B. Schmalfuss . 1996 . Approximation of the stochastic Navier-Stokes equation . Comp. Appl. Math. 15 ( 3 ): 227 – 239 . [CSA]
  • Grecksch , W. , and C. Tudor . 1995 . Stochastic Evolution Equations, , 1st ed. , Mathematical Research , Vol. 85 . Berlin : Akademie Verlag .
  • Grecksch , W. , and C. Tudor . 2000 . Parabolic regularization of a first order stochastic partial differential equation . Stochastic Analysis and Applications 18 ( 3 ): 397 – 416 . [CSA]
  • Gyöngy , I. 1988 . On the approximation of stochastic partial differential equations . Stochastics ( 25 ): 59 – 89 . [CSA]
  • Gyöngy , I. , and N. V. Krylov . 1982 . On stochastic equations with respect to semimartingales II: Itô formula in Banach spaces . Stochastics 6 : 153 – 173 . [CSA]
  • Ikeda , N. , and S. Watanabe . 1981 . Stochastic Differential Equations and Diffusion Processes . Amsterdam : North Holland .
  • Mao , X. 1994 . Exponential Stability of Stochastic Differential Equations . New York : Marcel Dekker, Inc.
  • Pardoux , E. 1975 . Équation aux Derivées Partielles Stochastiques Nonlinéaires Monotones. Étude de Solutions Fortes de Type Itô . These Doct. Sci. Math. , Paris .
  • Roth , C. 2002 . First Order Stochastic Partial Differential Equations . Ph.D. thesis , Martin-Luther University Halle-Wittenberg .
  • Roth , C. 2004 . Weak Approximations of Solutions of a First Order Hyperbolic Stochastic Partial Differential Equation . Report, Institute for Optimization and Stochastics , Martin-Luther-University Halle-Wittenberg, Halle .
  • Wloka , J. 1982 . Partielle Differentialgleichungen . Stuttgart : B.G. Teubner .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.