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

Matematisk statistik

Forskningsoutput: Tidskriftsbidrag › Artikel i vetenskaplig tidskrift › Peer review

Sammanfattning

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.

Originalspråk	engelska
Sidor (från-till)	375-393
Tidskrift	Potential Analysis
Volym	22
Nummer	4
DOI	https://doi.org/10.1007/s11118-004-1329-4
Status	Published - 2005

Ämnesklassifikation (UKÄ)

Sannolikhetsteori och statistik

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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",

author = "R Pettersson and Mikael Signahl",

year = "2005",

doi = "10.1007/s11118-004-1329-4",

language = "English",

volume = "22",

pages = "375--393",

journal = "Potential Analysis",

issn = "1572-929X",

publisher = "Springer",

number = "4",

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T1 - Numerical approximation for a white noise driven SPDE with locally bounded drift

AU - Pettersson, R

AU - Signahl, Mikael

PY - 2005

Y1 - 2005

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

U2 - 10.1007/s11118-004-1329-4

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

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Ämnesklassifikation (UKÄ)

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