Numerical Approximation for a White Noise Driven SPDE with Locally Bounded
Roger Pettersson and Mikael Signahl
Centre for Mathematical Sciences
Lund Institute of Technology,
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.
Stochastic partial differential equations, Malliavin calculus