Localization errors in solving stochastic partial differential equations in the whole space
Numerical Analysis
2017-04-25 v2 Probability
Abstract
Cauchy problems with SPDEs on the whole space are localized to Cauchy problems on a ball of radius . This localization reduces various kinds of spatial approximation schemes to finite dimensional problems. The error is shown to be exponentially small. As an application, a numerical scheme is presented which combines the localization and the space and time discretisation, and thus is fully implementable.
Cite
@article{arxiv.1508.05535,
title = {Localization errors in solving stochastic partial differential equations in the whole space},
author = {Máté Gerencsér and István Gyöngy},
journal= {arXiv preprint arXiv:1508.05535},
year = {2017}
}
Comments
Some details added; published version