Finite Volume Approximations for Non-Linear Parabolic Problems with Stochastic Forcing
Résumé
We propose a two-point flux approximation finite-volume scheme for a stochastic non-linear parabolic equation with a multiplicative noise. The time discretization is implicit except for the stochastic noise term in order to be compatible with stochastic integration in the sense of Itô. We show existence and uniqueness of solutions to the scheme and the appropriate measurability for stochastic integration follows from the uniqueness of approximate solutions.
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