On implicit and explicit discretization schemes for parabolic SPDEs in any dimension

Annie Millet and Pierre-Luc Morien

Stochastic Processes and their Applications, 2005, vol. 115, issue 7, 1073-1106

Abstract: We study the speed of convergence of the explicit and implicit space-time discretization schemes of the solution u(t,x) to a parabolic partial differential equation in any dimension perturbed by a space-correlated Gaussian noise. The coefficients only depend on u(t,x) and the influence of the correlation on the speed is observed.

Keywords: Parabolic; SPDE; Implicit; and; explicit; space-time; discretization; schemes; Green; function; Gaussian; noise; Space; correlation; Speed; of; convergence; Numerical; simulations (search for similar items in EconPapers)
Date: 2005
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