English

Stability and convergence of the Euler scheme for stochastic linear evolution equations in Banach spaces

Numerical Analysis 2024-11-12 v5 Numerical Analysis Probability

Abstract

For the Euler scheme of the stochastic linear evolution equations, discrete stochastic maximal Lp L^p -regularity estimate is established, and a sharp error estimate in the norm Lp((0,T)×Ω;Lq(O)) \|\cdot\|_{L^p((0,T)\times\Omega;L^q(\mathcal O))} , p,q[2,) p,q \in [2,\infty) , is derived via a duality argument.

Keywords

Cite

@article{arxiv.2211.08375,
  title  = {Stability and convergence of the Euler scheme for stochastic linear evolution equations in Banach spaces},
  author = {Binjie Li and Xiaoping Xie},
  journal= {arXiv preprint arXiv:2211.08375},
  year   = {2024}
}