Abstract
The solution of stochastic evolution equations generally relies on numerical computation. Here, usually the main idea is to discretize the SPDE spatially obtaining a system of SDEs that can be solved by e.g., the Euler scheme. In this paper, we investigate the discretization error of semilinear stochastic evolution equations in Lp-spaces, resp. Banach spaces. The space discretization may be done by Galerkin approximation, for the time discretization we consider the implicit Euler, the explicit Euler scheme and the Crank-Nicholson scheme. In the last section, we give some examples i.e., we consider an SPDEs driven by nuclear Wiener noise approximated by wavelets and delay equation approximated by finite differences.
| Original language | English |
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| Pages (from-to) | 485-516 |
| Number of pages | 32 |
| Journal | Journal of Computational and Applied Mathematics |
| Volume | 147.2002 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 15 Oct 2002 |
| Externally published | Yes |