On implicit and explicit discretization schemes for parabolic SPDEs in any dimension
Loading...
Date
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
Description
We study the speed of convergence of the explicit and implicit space-time discretization schemes of the solution $u(t,x)$ to a parabolic partial differential equation in any dimension perturbed by a space-correlated Gaussian noise. The coefficients only depend on $u(t,x)$ and the influence of the correlation on the speed is observed.