Mean square convergence of a semidiscrete scheme for SPDEs of Zakai type driven by square integrable martingales
Paper in proceeding, 2010
In this short note, a direct proof of L2 convergence of an Euler-Maruyama approximation of a Zakai equation driven by a square integrable martingale is shown. The order of convergence is as known for real-valued stochastic differential equations and for less general driving noises O(√Δt) for a time discretization step size Δt. © 2010 Published by Elsevier Ltd.
Lévy process
Euler-Maruyama scheme
Zakai equation
Numerical scheme
Stochastic partial differential equations
Mean square convergence
Author
Annika Lang
University of Gothenburg
Chalmers, Mathematical Sciences, Mathematical Statistics
Procedia Computer Science
1877-0509 (ISSN)
Vol. 1 1 1615-1623Subject Categories
Computational Mathematics
Probability Theory and Statistics
DOI
10.1016/j.procs.2010.04.181