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2010.78: The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds

2010.78: P.E. Kloeden, G.J. Lord, A. Neuenkirch and T. Shardlow (2010) The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds.

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Abstract

We present an error analysis for the pathwise approximation of a general semilinear stochastic evolution equation in d dimensions. We discretise in space by a Galerkin method and in time by a stochastic exponential integrator. We show that for spatially regular (smooth) noise the number of nodes needed for the noise can be reduced and that the rate of convergence degrades as the regularity of the noise reduces (and the noise is rougher)

Item Type:MIMS Preprint
Uncontrolled Keywords:Numerical solution of stochastic PDEs, Galerkin method, stochastic exponential integrator, pathwise convergence
Subjects:MSC 2000 > 60 Probability theory and stochastic processes
MSC 2000 > 65 Numerical analysis
MIMS number:2010.78
Deposited By:Ms Lucy van Russelt
Deposited On:24 August 2010

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