Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales
Journal article, 2012
This work describes a Galerkin type method for stochastic partial differential equations of Zakai type driven by an infinite dimensional cdlg 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. © 2011 Elsevier B.V. All rights reserved.
Galerkin method
Finite element method
Advectiondiffusion equation
Martingale
Zakai equation
Stochastic partial differential equation
Author
Annika Lang
Journal of Computational and Applied Mathematics
0377-0427 (ISSN)
Vol. 236 7 1724-1732Subject Categories
Computational Mathematics
Probability Theory and Statistics
DOI
10.1016/j.cam.2011.10.003