Optimal one-point approximation of stochastic heat equations with additive noise.

MaRDI QIDQ3603397zbMATH OpenFDO

Authors Tim Wagner

Publication date 16 February 2009

Full work available at URL http://tuprints.ulb.tu-darmstadt.de/1170/

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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• Lower bounds and nonuniform time discretization for approximation of stochastic heat equations
• Pointwise approximation of coupled Ornstein-Uhlenbeck processes
• Lower and upper bounds for strong approximation errors for numerical approximations of stochastic heat equations
• Optimal pointwise approximation of a linear stochastic heat equation with additive space-time white noise

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