On implicit and explicit discretization schemes for parabolic SPDEs in any dimension

Annie Millet; Pierre-Luc Morien

doi:10.1016/j.spa.2005.02.004

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On implicit and explicit discretization schemes for parabolic SPDEs in any dimension

Annie Millet·Pierre-Luc Morien

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Abstract

We study the speed of convergence of the explicit and implicit space-time discretization schemes of the solution $u(t,x)$ to a parabolic partial differential equation in any dimension perturbed by a space-correlated Gaussian noise. The coefficients only depend on $u(t,x)$ and the influence of the correlation on the speed is observed.

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Annie Millet, Pierre-Luc Morien. 2006-11-03. On implicit and explicit discretization schemes for parabolic SPDEs in any dimension. https://doi.org/10.1016/j.spa.2005.02.004

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