A lattice scheme for stochastic partial differential equations of elliptic type in dimension $d\ge 4$

Martínez, Teresa; Sanz-Solé, Marta

A lattice scheme for stochastic partial differential equations of elliptic type in dimension $d\ge 4$

Authors

Description

We study a stochastic boundary value problem on $(0,1)^d$ of elliptic type in dimension $d\ge 4$, driven by a coloured noise. An approximation scheme based on a suitable discretization of the Laplacian on a lattice of $(0,1)^d$ is presented; we also give the rate of convergence to the original SPDE in $L^p(Ω;L^{2}(D))$--norm, for some values of $p$.
27 pages