Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales
Artikel i vetenskaplig tidskrift, 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.
Finite element method
Stochastic partial differential equation