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Pathwise Estimation of Stochastic Differential Equations with

โœ Scribed by Xuejing Meng; Shigeng Hu; Ping Wu


Publisher
Springer Netherlands
Year
2010
Tongue
English
Weight
441 KB
Volume
113
Category
Article
ISSN
0167-8019

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โœ P.E. Kloeden; G.J. Lord; A. Neuenkirch; T. Shardlow ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 519 KB

We present an error analysis for the pathwise approximation of a general semilinear stochastic evolution equation in d dimensions. We discretise in space by a Galerkin method and in time by using a stochastic exponential integrator. We show that for spatially regular (smooth) noise the number of nod