Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps

Yan Li and Junhao Hu

Abstract and Applied Analysis, 2013, vol. 2013, issue 1

Abstract: We investigate the convergence rate of Euler‐Maruyama method for a class of stochastic partial differential delay equations driven by both Brownian motion and Poisson point processes. We discretize in space by a Galerkin method and in time by using a stochastic exponential integrator. We generalize some results of Bao et al. (2011) and Jacob et al. (2009) in finite dimensions to a class of stochastic partial differential delay equations with jumps in infinite dimensions.

Date: 2013
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https://doi.org/10.1155/2013/128625

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2013:y:2013:i:1:n:128625

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