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

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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Year of publication:	2005
Authors:	Millet, Annie ; Morien, Pierre-Luc
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 115.2005, 7, p. 1073-1106
Publisher:	Elsevier
Keywords:	Parabolic SPDE Implicit and explicit space-time discretization schemes Green function Gaussian noise Space correlation Speed of convergence Numerical simulations

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

Persistent link: https://www.econbiz.de/10008873873