On stochastic finite difference schemes (Q487686)
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On stochastic finite difference schemes (English)
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23 January 2015
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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.
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Cauchy problem
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finite differences
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extrapolation to the limit
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Richardson's method
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degenerate parabolic stochastic partial differential equation
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error estimate
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