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Numerical Approximation for a White Noise Driven SPDE with Locally Bounded Drift |
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| Authors: | Roger?Pettersson |
| Institution: | (1) Matematiska och Systemtekniska Institutionen, Vejdes Plats 7, Växjö Universitet, 351 95 Växjö, Sweden;(2) Matematisk Statistik, Matematikcentrum, Box 118, Lunds Universitet, 221 00 Lund, Sweden |
| Abstract: | A numerical scheme for a stochastic partial differential equation of heat equation type is considered where the drift is locally bounded and the dispersion may be state dependent. Uniform convergence in probability is obtained. Roger Pettersson: Partially supported by the EU grant ref. ERBF MRX CT96 0057A. |
| Keywords: | stochastic partial differential equations Malliavin calculus |
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