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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