Quarterly of Applied Mathematics

Quarterly of Applied Mathematics

Online ISSN 1552-4485; Print ISSN 0033-569X



Some remarks on the numerical approximation of stochastic differential equations

Authors: Brian D. Ewald and Roger Témam
Journal: Quart. Appl. Math. 66 (2008), 595-605
MSC (2000): Primary 65C20
DOI: https://doi.org/10.1090/S0033-569X-08-01128-1
Published electronically: July 2, 2008
MathSciNet review: 2445530
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Abstract: The aim of this article is to discuss the convergence of some numerical stochastic schemes in geophysical fluid dynamics (GFD) and to make some remarks on the numerical analysis of stochastic differential equations (SDEs).

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Additional Information

Brian D. Ewald
Affiliation: Department of Mathematics, Florida State University, Room 205C, 1017 Academic Way, Tallahassee, Florida 32306-4510

Roger Témam
Affiliation: Institute for Scientific Computing and Applied Mathematics, Indiana University, Rawles Hall, Bloomington, Indiana 47405-5701

DOI: https://doi.org/10.1090/S0033-569X-08-01128-1
Received by editor(s): May 15, 2007
Published electronically: July 2, 2008
Article copyright: © Copyright 2008 Brown University

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