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

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  • Millet, Annie
  • Morien, Pierre-Luc

Abstract

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.

Suggested Citation

  • Millet, Annie & Morien, Pierre-Luc, 2005. "On implicit and explicit discretization schemes for parabolic SPDEs in any dimension," Stochastic Processes and their Applications, Elsevier, vol. 115(7), pages 1073-1106, July.
    • Handle: RePEc:eee:spapps:v:115:y:2005:i:7:p:1073-1106
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    References listed on IDEAS

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    1. Gyöngy, István & Nualart, David, 1995. "Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise," Stochastic Processes and their Applications, Elsevier, vol. 58(1), pages 57-72, July.
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