On discretization schemes for stochastic evolution equations (Q1775512): Difference between revisions

The authors study the approximation of the solution to the evolution equation in Banach spaces \[ u_t = u_0 + \int_0^t A_s(u_s) ds + \sum_{j=1}^r \int_0^t B_s^j (u_s) dW_s^j \] where \(u_0\) is a random variable that takes values in a Hilbert space, \(A\) and \(B\) are adapted operators and \(W=(W_t)_{t \geq 0}\) is an \(r\)-dimensional Brownian motion. They introduce an implicit time discretization \(u^m\) and space-time explicit and implicit discretization schemes \(u_n^m\) and \(u^{n,m}\) of \(u\). Then, the convergence of these approximations to the solution of the equation is proved. As a by-product of the identification of the weak limit of the explicit and implicit space-time discretization schemes, the authors obtain the existence of a solution to the initial equation.