On stochastic finite difference schemes (Q487686)

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On stochastic finite difference schemes
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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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