Weak approximation of stochastic partial differential equations: the nonlinear case
نویسندگان
چکیده
منابع مشابه
Weak approximation of stochastic partial differential equations: the nonlinear case
We study the error of the Euler scheme applied to a stochastic partial differential equation. We prove that as it is often the case, the weak order of convergence is twice the strong order. A key ingredient in our proof is Malliavin calculus which enables us to get rid of the irregular terms of the error. We apply our method to the case a semilinear stochastic heat equation driven by a space-ti...
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ژورنال
عنوان ژورنال: Mathematics of Computation
سال: 2010
ISSN: 0025-5718,1088-6842
DOI: 10.1090/s0025-5718-2010-02395-6