Rate of Convergence of Space Time Approximations for stochastic evolution equations
Probability
2009-01-20 v2
Abstract
Stochastic evolution equations in Banach spaces with unbounded nonlinear drift and diffusion operators driven by a finite dimensional Brownian motion are considered. Under some regularity condition assumed for the solution, the rate of convergence of various numerical approximations are estimated under strong monotonicity and Lipschitz conditions. The abstract setting involves general consistency conditions and is then applied to a class of quasilinear stochastic PDEs of parabolic type.
Cite
@article{arxiv.0706.1404,
title = {Rate of Convergence of Space Time Approximations for stochastic evolution equations},
author = {Istvan Gyöngy and Annie Millet},
journal= {arXiv preprint arXiv:0706.1404},
year = {2009}
}