Numerical analysis of semilinear stochastic evolution equations in Banach spaces
Research output: Contribution to journal › Article › Research › peer-review
Standard
In: Journal of Computational and Applied Mathematics, Vol. 147.2002, No. 2, 2002, p. 485-516.
Research output: Contribution to journal › Article › Research › peer-review
Harvard
APA
Vancouver
Author
Bibtex - Download
}
RIS (suitable for import to EndNote) - Download
TY - JOUR
T1 - Numerical analysis of semilinear stochastic evolution equations in Banach spaces
AU - Hausenblas, Erika
PY - 2002
Y1 - 2002
N2 - The solution of stochastic evolution equations generally relies on numerical computation. Here, usually the main idea is to discretize the SPDE spatially obtaining a system of SDEs that can be solved by e.g., the Euler scheme. In this paper, we investigate the discretization error of semilinear stochastic evolution equations in Lp-spaces, resp. Banach spaces. The space discretization may be done by Galerkin approximation, for the time discretization we consider the implicit Euler, the explicit Euler scheme and the Crank-Nicholson scheme. In the last section, we give some examples i.e., we consider an SPDEs driven by nuclear Wiener noise approximated by wavelets and delay equation approximated by finite differences.
AB - The solution of stochastic evolution equations generally relies on numerical computation. Here, usually the main idea is to discretize the SPDE spatially obtaining a system of SDEs that can be solved by e.g., the Euler scheme. In this paper, we investigate the discretization error of semilinear stochastic evolution equations in Lp-spaces, resp. Banach spaces. The space discretization may be done by Galerkin approximation, for the time discretization we consider the implicit Euler, the explicit Euler scheme and the Crank-Nicholson scheme. In the last section, we give some examples i.e., we consider an SPDEs driven by nuclear Wiener noise approximated by wavelets and delay equation approximated by finite differences.
UR - http://dx.doi.org/10.1016/S0377-0427(02)00483-1
U2 - 10.1016/S0377-0427(02)00483-1
DO - 10.1016/S0377-0427(02)00483-1
M3 - Article
VL - 147.2002
SP - 485
EP - 516
JO - Journal of Computational and Applied Mathematics
JF - Journal of Computational and Applied Mathematics
SN - 1879-1778
IS - 2
ER -