Chaptergreen2007

Rate of Convergence of Implicit Approximations for Stochastic Evolution Equations

28 citations0/0 files storedInterdisciplinary mathematical sciences

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Numerical methods for differential equations

Abstract

Abstract. Stochastic evolution equations in Banach spaces with unbounded nonlinear drift and diffusion operators are considered. Under some regularity condition assumed for the solution, the rate of convergence of implicit Euler ap-proximations is estimated under strong monotonicity and Lipschitz conditions. The results are applied to a class of quasilinear stochastic PDEs of parabolic type. 1.

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1980Stochastic partial differential equations and filtering of diffusion processes 1999Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II 1980On stochastic equations with respect to semimartingales I.†1990Stochastic Evolution Systems: Linear Theory and Applications to Non-linear Filtering 1982On stochastic squations with respect to semimartingales III

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