Almost Sure Convergence of a Semidiscrete Milstein Scheme for SPDE's of Zakai Type


Lang, Annika ; Chow, Pao-Liu ; Potthoff, Jürgen


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URL: https://ub-madoc.bib.uni-mannheim.de/2329
URN: urn:nbn:de:bsz:180-madoc-23291
Document Type: Working paper
Year of publication: 2009
The title of a journal, publication series: Preprints / Department of Mathematics
Volume: 08-03
Place of publication: Mannheim
Publication language: English
Institution: School of Business Informatics and Mathematics > Sonstige - Fakultät für Mathematik und Informatik
MADOC publication series: Veröffentlichungen der Fakultät für Mathematik und Informatik > Institut für Mathematik > Preprints
Subject: 510 Mathematics
Classification: MSC: 41A25 65C30 60H35 60H15 60G60 ,
Subject headings (SWD): Stochastische partielle Differentialgleichung , Konvergenz , Numerische Mathematik , Diskretisierung
Individual keywords (German): Fast sichere Konvergenz , Milsteinschema , Zeitdiskretisierung , Zakaigleichung
Keywords (English): Milstein scheme , stochastic partial differential equations , Zakai equation , numerical scheme , almost sure convergence
Abstract: A semidiscrete Milstein scheme for stochastic partial differential equations of Zakai type on a bounded domain of R^d is derived. It is shown that the order of convergence of this scheme is 1 for convergence in mean square sense. For almost sure convergence the order of convergence is proved to be 1 - e for any e > 0.
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Dieser Eintrag ist Teil der Universitätsbibliographie.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Lang, Annika ; Chow, Pao-Liu ; Potthoff, Jürgen (2009) Almost Sure Convergence of a Semidiscrete Milstein Scheme for SPDE's of Zakai Type. Open Access Preprints / Department of Mathematics Mannheim 08-03 [Working paper]
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