Accelerated spatial approximations for time discretized stochastic partial differential equations. Hall, E. J. SIAM J. Math. Anal., 44(5):3162–3185, 2012.
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Paper doi abstract bibtex
Paper doi abstract bibtex The present article investigates the convergence of a class of space-time discretization schemes for the Cauchy problem for linear parabolic stochastic partial differential equations defined on the whole space. Sufficient conditions are given for accelerating the convergence of the scheme with respect to the spatial approximation to higher order accuracy by an application of Richardson's method. This work extends the results of Gyöngy and Krylov [SIAM J. Math. Anal., 42 (2010), pp. 2275–2296] to schemes that discretize in time as well as space.
@article{Hall:2012,
abstract = {The present article investigates the convergence of a class of space-time discretization schemes for the Cauchy problem for linear parabolic stochastic partial differential equations defined on the whole space. Sufficient conditions are given for accelerating the convergence of the scheme with respect to the spatial approximation to higher order accuracy by an application of Richardson's method. This work extends the results of Gy{\"o}ngy and Krylov [SIAM J. Math. Anal., 42 (2010), pp. 2275--2296] to schemes that discretize in time as well as space.},
author = {Eric Joseph Hall},
date-added = {2014-11-23 12:49:07 +0000},
date-modified = {2022-01-04 20:13:05 +0000},
doi = {10.1137/12086412X},
journal = {SIAM J. Math. Anal.},
keywords = {SPDEs, numerical anlysis},
number = {5},
pages = {3162--3185},
title = {Accelerated spatial approximations for time discretized stochastic partial differential equations},
url_Paper = {https://www.stwing.upenn.edu/~erichall/papers/86412.pdf},
volume = {44},
year = {2012}}Downloads: 0
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