Opuscula Math. 34, no. 2 (2014), 443-456

Opuscula Mathematica

Method of lines for parabolic stochastic functional partial differential equations

Maria Ziemlańska

Abstract. We approximate parabolic stochastic functional differential equations substituting the derivatives in the space variable by finite differences. We prove the stability of the method of lines corresponding to a parabolic SPDE driven by Brownian motion.

Keywords: stochastic partial differential equations, stability of the method of lines, white noise, Volterra stochastic equations.

Mathematics Subject Classification: 35R60, 49M25.

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  • Maria Ziemlańska
  • University of Gdansk, Institute of Mathematics, Wit Stwosz Street 57, 80-952 Gdansk, Poland
  • Received: 2013-08-28.
  • Revised: 2013-11-26.
  • Accepted: 2013-12-18.
Opuscula Mathematica - cover

Cite this article as:
Maria Ziemlańska, Method of lines for parabolic stochastic functional partial differential equations, Opuscula Math. 34, no. 2 (2014), 443-456, http://dx.doi.org/10.7494/OpMath.2014.34.2.443

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