Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise

István Gyöngy and David Nualart

Stochastic Processes and their Applications, 1995, vol. 58, issue 1, 57-72

Abstract: In this paper we consider an implicit approximation scheme for the heat equation with a nonlinear term and an additive space-time white noise. Assuming that the nonlinear drift is measurable and verifies a one-sided linear growth condition we show that the approximation scheme converges to the unique solution in probability, uniformly in space and time.

Keywords: Stochastic; partial; differential; equations; Space-time; white; noise; Implicit; approximation (search for similar items in EconPapers)
Date: 1995
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