Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise

Andrea Barth and Tobias Stüwe

Mathematics and Computers in Simulation (MATCOM), 2018, vol. 143, issue C, 215-225

Abstract: This work considers weak approximations of stochastic partial differential equations (SPDEs) driven by Lévy noise. The SPDEs at hand are parabolic with additive noise processes. A weak-convergence rate for the corresponding Galerkin Finite Element approximation is derived. The convergence result is derived by use of the Malliavin derivative rather than the common approach via the Kolmogorov backward equation.

Keywords: Weak convergence; Stochastic partial differential equation; Lévy noise; Malliavin calculus (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378475417300836
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:143:y:2018:i:c:p:215-225

DOI: 10.1016/j.matcom.2017.03.007

Access Statistics for this article

Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens

More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier
Bibliographic data for series maintained by Catherine Liu ().