An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise
نویسندگان
چکیده
منابع مشابه
An Implicit Euler Scheme with Non-uniform Time Discretization for Heat Equations with Multiplicative Noise
We present an algorithm for solving stochastic heat equations, whose key ingredient is a non-uniform time discretization of the driving Brownian motion W . For this algorithm we derive an error bound in terms of its number of evaluations of onedimensional components of W . The rate of convergence depends on the spatial dimension of the heat equation and on the decay of the eigenfunctions of the...
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ژورنال
عنوان ژورنال: BIT Numerical Mathematics
سال: 2007
ISSN: 0006-3835,1572-9125
DOI: 10.1007/s10543-007-0129-9