Kloeden, P.E. and Lord, G.J. and Neuenkirch, A. and Shardlow, T. (2010) The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds. [MIMS Preprint]
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Abstract
We present an error analysis for the pathwise approximation of a general semilinear stochastic evolution equation in d dimensions. We discretise in space by a Galerkin method and in time by a stochastic exponential integrator. We show that for spatially regular (smooth) noise the number of nodes needed for the noise can be reduced and that the rate of convergence degrades as the regularity of the noise reduces (and the noise is rougher)
| Item Type: | MIMS Preprint |
|---|---|
| Uncontrolled Keywords: | Numerical solution of stochastic PDEs, Galerkin method, stochastic exponential integrator, pathwise convergence |
| Subjects: | MSC 2010, the AMS's Mathematics Subject Classification > 60 Probability theory and stochastic processes MSC 2010, the AMS's Mathematics Subject Classification > 65 Numerical analysis |
| Depositing User: | Ms Lucy van Russelt |
| Date Deposited: | 24 Aug 2010 |
| Last Modified: | 08 Nov 2017 18:18 |
| URI: | https://eprints.maths.manchester.ac.uk/id/eprint/1513 |
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