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On Discretization Schemes for Stochastic Evolution Equations

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Abstract

Stochastic evolutional equations with monotone operators are considered in Banach spaces. Explicit and implicit numerical schemes are presented. The convergence of the approximations to the solution of the equations is proved.

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Authors and Affiliations

  1. School of Mathematics, University of Edinburgh, King’s Buildings, Edinburgh, EH9 3JZ, United Kingdom

    István Gyöngy

  2. Laboratoire de Probabilités et Modèles Aléatoires (CNRS UMR 7599), Universités Paris 6–Paris 7, Boite Courrier 188, 4 place Jussieu, 75252 Paris Cedex 05, France and SAMOS-MATISSE, Université Paris 1, 90 Rue de Tolbiac, 75634, Paris Cedex 13, France

    Annie Millet

Authors
  1. István Gyöngy
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  2. Annie Millet
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Correspondence to István Gyöngy.

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Mathematics Subject Classifications (2000)

Primary: 60H15; Secondary: 65M60.

István Gyöngy: This paper was written while the first named author was visiting the University of Paris X. The research of this author is partially supported by EU Network HARP.

Annie Millet: The research of the second named author is partially supported by the research project BMF2003-01345.

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Gyöngy, I., Millet, A. On Discretization Schemes for Stochastic Evolution Equations. Potential Anal 23, 99–134 (2005). https://doi.org/10.1007/s11118-004-5393-6

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  • DOI: https://doi.org/10.1007/s11118-004-5393-6

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