Mean square convergence of a semidiscrete scheme for SPDEs of Zakai type driven by square integrable martingales
Paper in proceedings, 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 1615-1623

Subject Categories

Computational Mathematics

Probability Theory and Statistics

DOI

10.1016/j.procs.2010.04.181

More information

Created

10/7/2017