Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:236

Article

Lang, Annika^1,2 

[1] Swiss Fed Inst Technol, Seminar Angew Math, CH-8092 Zurich, Switzerland

[2] Univ Mannheim, Fak Math & Informat, D-68131 Mannheim, Germany

关键词: Finite element method;    Stochastic partial differential equation;    Martingale;    Galerkin method;    Zakai equation;    Advection-diffusion equation;   

DOI  :  10.1016/j.cam.2011.10.003

来源: Elsevier

【 摘 要 】

This work describes a Galerkin type method for stochastic partial differential equations of Zakai type driven by an infinite dimensional cadlag square integrable martingale. Error estimates in the semidiscrete case, where discretization is only done in space, are derived in LP and almost sure senses. Simulations confirm the theoretical results. (C) 2011 Elsevier B.V. All rights reserved.

【 授权许可】

Free