Approximation for semilinear stochastic evolution equations

被引:108
作者
Hausenblas, E [1 ]
机构
[1] Salzburg Univ, Inst Math, A-5020 Salzburg, Austria
关键词
stochastic evolution equations; stochastic partial differential equations; numerical approximation; PARTIAL-DIFFERENTIAL EQUATIONS; LATTICE APPROXIMATIONS; DRIVEN; PDES;
D O I
10.1023/A:1020552804087
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
We investigate the approximation by space and time discretization of quasi linear evolution equations driven by nuclear or space time white noise. An error bound for the implicit Euler, the explicit Euler, and the Crank-Nicholson scheme is given and the stability of the schemes are considered. Lastly we give some examples of different space approximation, i.e., we consider approximation by eigenfunction, finite differences and wavelets.
引用
收藏
页码:141 / 186
页数:46
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