Finite element approximation of stochastic partial differential equations driven by poisson random measures of jump type

被引：24
作者：
Department of Mathematics, University of Salzburg, Hellbrunnerstr. 34, 5020 Salzburg, Austria [1 ]
机构：
[1] Department of Mathematics, University of Salzburg, 5020 Salzburg
来源：
SIAM J Numer Anal | 2007年 / 1卷 / 437-471期
关键词：
Numerical approximation; Poisson random measure; Space discretization; Stochastic evolution equations; Stochastic partial differential equations; Time discretization;
D O I：
10.1137/050654141
中图分类号：
学科分类号：
摘要：
The paper deals with stochastic partial differential equations driven by Poisson random measures of jump type and their numerical approximation. We investigate the accuracy of space and time approximation. As space approximation we consider finite elements and as time approximation the implicit Euler scheme. © 2008 Society for Industrial and Applied Mathematics.
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页码：437 / 471
页数：34
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