On stochastic finite difference schemes (Q487686)

A linear degenerate parabolic stochastic partial differential equation with multiplicative noise on \(\mathbb{R}^d\) is considered. The finite difference approximation of the solution is shown to have an asymptotic expansion in supremum norm in space and time dimension and \(p\)-norm in the stochastic variable under appropriate smoothness assumptions. This is applied to prove error estimates of the Richardson extrapolation of the finite difference approximation.