On implicit and explicit discretization schemes for parabolic SPDEs in any dimension

Details On implicit and explicit discretization schemes for parabolic SPDEs in any dimension On implicit and explicit discretization schemes for parabolic SPDEs in any dimension

2006-11-03

arxiv.org/abs/math/0611073v1

Stochastic Processes and their Applications 115 (07/2005) 1073-1106

Mathematics

Probability

Scientific paper

10.1016/j.spa.2005.02.004

We study the speed of convergence of the explicit and implicit space-time
discretization schemes of the solution $u(t,x)$ to a parabolic partial
differential equation in any dimension perturbed by a space-correlated Gaussian
noise. The coefficients only depend on $u(t,x)$ and the influence of the
correlation on the speed is observed.

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