Discrete maximal regularity of an implicit Euler--Maruyama scheme with non-uniform time discretisation for a class of stochastic partial differential equations
Numerical Analysis
2018-04-11 v1
Abstract
An implicit Euler--Maruyama method with non-uniform step-size applied to a class of stochastic partial differential equations is studied. A spectral method is used for the spatial discretization and the truncation of the Wiener process. A discrete analogue of maximal -regularity of the scheme and the discretised stochastic convolution is established, which has the same form as their continuous counterpart.
Keywords
Cite
@article{arxiv.1804.03355,
title = {Discrete maximal regularity of an implicit Euler--Maruyama scheme with non-uniform time discretisation for a class of stochastic partial differential equations},
author = {Yoshihito Kazashi},
journal= {arXiv preprint arXiv:1804.03355},
year = {2018}
}