On implicit and explicit discretization schemes for parabolic SPDEs in any dimension
Probability
2007-05-23 v1
Abstract
We study the speed of convergence of the explicit and implicit space-time discretization schemes of the solution to a parabolic partial differential equation in any dimension perturbed by a space-correlated Gaussian noise. The coefficients only depend on and the influence of the correlation on the speed is observed.
Keywords
Cite
@article{arxiv.math/0611073,
title = {On implicit and explicit discretization schemes for parabolic SPDEs in any dimension},
author = {Annie Millet and Pierre-Luc Morien},
journal= {arXiv preprint arXiv:math/0611073},
year = {2007}
}