Numerical approximation for a white noise driven SPDE with locally bounded drift
(2005) In Potential Analysis 22(4). p.375-393- Abstract
- A numerical scheme for a stochastic partial differential equation of heat equation type is considered where the drift is locally bounded and the dispersion may be state dependent. Uniform convergence in probability is obtained.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/250433
- author
- Pettersson, R and Signahl, Mikael LU
- organization
- publishing date
- 2005
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- stochastic partial differential equations, Malliavin calculus
- in
- Potential Analysis
- volume
- 22
- issue
- 4
- pages
- 375 - 393
- publisher
- Springer
- external identifiers
-
- wos:000227370500003
- scopus:15444363340
- ISSN
- 1572-929X
- DOI
- 10.1007/s11118-004-1329-4
- language
- English
- LU publication?
- yes
- id
- b874d060-bf62-4829-ae55-a8c1325e0a9e (old id 250433)
- date added to LUP
- 2016-04-01 15:31:33
- date last changed
- 2022-01-28 05:49:00
@article{b874d060-bf62-4829-ae55-a8c1325e0a9e, abstract = {{A numerical scheme for a stochastic partial differential equation of heat equation type is considered where the drift is locally bounded and the dispersion may be state dependent. Uniform convergence in probability is obtained.}}, author = {{Pettersson, R and Signahl, Mikael}}, issn = {{1572-929X}}, keywords = {{stochastic partial differential equations; Malliavin calculus}}, language = {{eng}}, number = {{4}}, pages = {{375--393}}, publisher = {{Springer}}, series = {{Potential Analysis}}, title = {{Numerical approximation for a white noise driven SPDE with locally bounded drift}}, url = {{http://dx.doi.org/10.1007/s11118-004-1329-4}}, doi = {{10.1007/s11118-004-1329-4}}, volume = {{22}}, year = {{2005}}, }