Numerical approximation for a white noise driven SPDE with locally bounded drift

R Pettersson; Mikael Signahl

doi:10.1007/s11118-004-1329-4

Numerical approximation for a white noise driven SPDE with locally bounded drift

R Pettersson, Mikael Signahl

Mathematical Statistics

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Abstract

A numerical scheme for a stochastic partial differential equation of heat equation type is considered where the drift is locally bounded and the dispersion may be state dependent. Uniform convergence in probability is obtained.

Original language	English
Pages (from-to)	375-393
Journal	Potential Analysis
Volume	22
Issue number	4
DOIs	https://doi.org/10.1007/s11118-004-1329-4
Publication status	Published - 2005

Subject classification (UKÄ)

Probability Theory and Statistics

Free keywords

stochastic partial differential equations
Malliavin calculus

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10.1007/s11118-004-1329-4

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title = "Numerical approximation for a white noise driven SPDE with locally bounded drift",

abstract = "A numerical scheme for a stochastic partial differential equation of heat equation type is considered where the drift is locally bounded and the dispersion may be state dependent. Uniform convergence in probability is obtained.",

keywords = "stochastic partial differential equations, Malliavin calculus",

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language = "English",

volume = "22",

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journal = "Potential Analysis",

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AU - Pettersson, R

AU - Signahl, Mikael

PY - 2005

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N2 - A numerical scheme for a stochastic partial differential equation of heat equation type is considered where the drift is locally bounded and the dispersion may be state dependent. Uniform convergence in probability is obtained.

AB - A numerical scheme for a stochastic partial differential equation of heat equation type is considered where the drift is locally bounded and the dispersion may be state dependent. Uniform convergence in probability is obtained.

KW - stochastic partial differential equations

KW - Malliavin calculus

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DO - 10.1007/s11118-004-1329-4

M3 - Article

SN - 1572-929X

VL - 22

SP - 375

EP - 393

JO - Potential Analysis

JF - Potential Analysis

IS - 4

ER -

Numerical approximation for a white noise driven SPDE with locally bounded drift

Abstract

Subject classification (UKÄ)

Free keywords

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Cite this