Mean square convergence of a semidiscrete scheme for SPDEs of Zakai type driven by square integrable martingales
نویسنده
چکیده
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( √ ∆t) for a time discretization step size ∆t.
منابع مشابه
Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales
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