Finite difference schemes for stochastic partial differential equations in Sobolev spaces
Numerical Analysis
2015-01-30 v3 Probability
Abstract
We discuss -estimates for finite difference schemes approximating parabolic, possibly degenerate, SPDEs, with initial conditions from and free terms taking values in Consequences of these estimates include an asymptotic expansion of the error, allowing the acceleration of the approximation by Richardson's method.
Cite
@article{arxiv.1308.4614,
title = {Finite difference schemes for stochastic partial differential equations in Sobolev spaces},
author = {Máté Gerencsér and István Gyöngy},
journal= {arXiv preprint arXiv:1308.4614},
year = {2015}
}
Comments
22 pages. The final publication is available at Springer via http://dx.doi.org/10.1007/s00245-014-9272-2