NANAPRJan 28, 2015

Finite difference schemes for stochastic partial differential equations in Sobolev spaces

arXiv:1308.461422 citationsh-index: 31

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We discuss $L_p$-estimates for finite difference schemes approximating parabolic, possibly degenerate, SPDEs, with initial conditions from $W^m_p$ and free terms taking values in $W^m_p.$ Consequences of these estimates include an asymptotic expansion of the error, allowing the acceleration of the approximation by Richardson's method.

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