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Pathwise Taylor schemes for random ordinary differential equations

✍ Scribed by Arnulf Jentzen; Peter E. Kloeden


Book ID
106373085
Publisher
Springer Netherlands
Year
2009
Tongue
English
Weight
557 KB
Volume
49
Category
Article
ISSN
0006-3835

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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