TY - EJOU
AU - Baleanu, Dumitru
AU - Namjoo, Mehran
AU - Mohebbian, Ali
AU - Jajarmi, Amin
TI - A Weighted Average Finite Difference Scheme for the Numerical Solution of Stochastic Parabolic Partial Differential Equations
T2 - Computer Modeling in Engineering \& Sciences
PY -
VL -
IS -
SN - 1526-1506
AB - In the present paper, the numerical solution of Itô type stochastic parabolic equation with a time white noise process
is imparted based on a stochastic finite difference scheme. At the beginning, an implicit stochastic finite difference
scheme is presented for this equation. Some mathematical analyses of the scheme are then discussed. Lastly, to
ascertain the efficacy and accuracy of the suggested technique, the numerical results are discussed and compared
with the exact solution.
KW - Itô equation; stochastic process; finite difference scheme; stability and convergence; consistency
DO - 10.32604/cmes.2022.022403