Approximation of SPDEs with Holder Continuous Drifts

Jianhai Bao; Xing Huang; Chenggui Yuan

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arXiv · 1703.09931

Approximation of SPDEs with Holder Continuous Drifts

Jianhai Bao·Xing Huang·Chenggui Yuan

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Abstract

In this paper, exploiting the regularities of the corresponding Kolmogorov equations involved we investigate strong convergence of exponential integrator scheme for a range of stochastic partial differential equations, in which the drift term is H\"older continuous, and reveal the rate of convergence.

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Jianhai Bao, Xing Huang, Chenggui Yuan. 2017-03-29. Approximation of SPDEs with Holder Continuous Drifts. https://arxiv.org/abs/1703.09931

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