Localization errors in solving stochastic partial differential equations in the whole space
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Abstract: Cauchy problems with SPDEs on the whole space are localized to Cauchy problems on a ball of radius . This localization reduces various kinds of spatial approximation schemes to finite dimensional problems. The error is shown to be exponentially small. As an application, a numerical scheme is presented which combines the localization and the space and time discretisation, and thus is fully implementable.
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Cited in
(6)- A Feynman-Kac formula for stochastic Dirichlet problems
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