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 14039338

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
