Numerical Approximation for a White Noise Driven SPDE with Locally Bounded Drift

Roger Pettersson and Mikael Signahl

Centre for Mathematical Sciences
Mathematical Statistics
Lund Institute of Technology,
Lund University,
2003

ISSN 1403-9338

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Abstract:

A numerical scheme for a stochastic partial differential equation of heat equation type is considered where the drift is locally bounded and the dispersion may be state dependent. Uniform convergence in probability is obtained.

Key words:

Stochastic partial differential equations, Malliavin calculus