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Strong and Weak Approximation of Semilinear Stochastic Evolut... - 9783319022307

Description: Strong and Weak Approximation of Semilinear Stochastic Evolution Equations Please note: this item is printed on demand and will take extra time before it can be dispatched to you (up to 20 working days). Author(s): Raphael Kruse Format: Paperback Publisher: Springer International Publishing AG, Switzerland Imprint: Springer International Publishing AG ISBN-13: 9783319022307, 978-3319022307 Synopsis In this book we analyze the error caused by numerical schemes for the approximation of semilinear stochastic evolution equations (SEEq) in a Hilbert space-valued setting. The numerical schemes considered combine Galerkin finite element methods with Euler-type temporal approximations. Starting from a precise analysis of the spatio-temporal regularity of the mild solution to the SEEq, we derive and prove optimal error estimates of the strong error of convergence in the first part of the book. The second part deals with a new approach to the so-called weak error of convergence, which measures the distance between the law of the numerical solution and the law of the exact solution. This approach is based on Bismut's integration by parts formula and the Malliavin calculus for infinite dimensional stochastic processes. These techniques are developed and explained in a separate chapter, before the weak convergence is proven for linear SEEq.

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Strong and Weak Approximation of Semilinear Stochastic Evolut... - 9783319022307

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Book Title: Strong and Weak Approximation of Semilinear Stochastic Evoluti...

Number of Pages: 177 Pages

Language: English

Publication Name: Strong and Weak Approximation of Semilinear Stochastic Evolution Equations

Publisher: Springer International Publishing A&G

Publication Year: 2013

Subject: Mathematics

Item Height: 235 mm

Item Weight: 3051 g

Type: Textbook

Author: Raphael Kruse

Series: Lecture Notes in Mathematics

Item Width: 155 mm

Format: Paperback

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