Finite Difference Schemes for Stochastic Partial Differential Equations in Sobolev Spaces
Journal Article
·
· Applied Mathematics and Optimization
- University of Edinburgh, Department of Mathematics and Statistics (United Kingdom)
We discuss L{sub p}-estimates for finite difference schemes approximating parabolic, possibly degenerate, SPDEs, with initial conditions from W{sub p}{sup m} and free terms taking values in W{sub p}{sup m}. Consequences of these estimates include an asymptotic expansion of the error, allowing the acceleration of the approximation by Richardson’s method.
- OSTI ID:
- 22722855
- Journal Information:
- Applied Mathematics and Optimization, Vol. 72, Issue 1; Other Information: Copyright (c) 2015 Springer Science+Business Media New York; http://www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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