Implicit scheme for stochastic parabolic partial differential equations driven by space-time white noise (Q1376530)
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scientific article; zbMATH DE number 1098547
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| English | Implicit scheme for stochastic parabolic partial differential equations driven by space-time white noise |
scientific article; zbMATH DE number 1098547 |
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Implicit scheme for stochastic parabolic partial differential equations driven by space-time white noise (English)
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18 August 1998
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The paper considers the numerical approximation of stochastic parabolic partial differential equations driven by space time white noise. The authors use an implicit approximation scheme similar to the Rothe method. They show almost sure convergence when the nonlinear terms are Lipschitz continuous functions. Using Malliavin calculus, they prove convergence in probability when the drifts are only measurable.
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stochastic partial differential equation
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numerical methods
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Malliavin calculus
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0.9002221822738647
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0.856149435043335
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0.8266407251358032
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