Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise

In this paper we consider an implicit approximation scheme for the heat equation with a nonlinear term and an additive space-time white noise. Assuming that the nonlinear drift is measurable and verifies a one-sided linear growth condition we show that the approximation scheme converges to the unique solution in probability, uniformly in space and time.

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Year of publication:	1995
Authors:	Gyöngy, István ; Nualart, David
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 58.1995, 1, p. 57-72
Publisher:	Elsevier
Keywords:	Stochastic partial differential equations Space-time white noise Implicit approximation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875481