An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise

DOI10.1007/s10543-007-0129-9zbMath1127.65006arXivmath/0604600OpenAlexW2039447583MaRDI QIDQ996817

Thomas Müller-Gronbach, Klaus Ritter

Publication date: 19 July 2007

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0604600

zbMATH Keywords

Brownian motionerror boundimplicit Euler methodstochastic heat equationmultiplicative noisediscrete time approximationrate of strong convergence

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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