Analysis of the stability and convergence of a finite difference approximation for stochastic partial differential equations

Abstract

‎In this paper‎, ‎an implicit finite difference scheme is proposed for the numerical solution of stochastic partial differential equations (SPDEs) of Ito type‎. ‎The consistency‎, ‎stability and convergence of the scheme is analyzed‎. ‎Numerical experiments are included to show the efficiency of the scheme‎.<br />