Abstract
We approximate quasi-linear parabolic SPDEs substituting the derivatives with finite differences. We investigate the resulting implicit and explicit schemes. For the implicit scheme we estimate the rate of Lp convergence of the approximations and we also prove their almost sure convergence when the nonlinear terms are Lipschitz continuous. When the nonlinear terms are not Lipschitz continuous we obtain convergence in probability provided pathwise uniqueness for the equation holds. For the explicit scheme we get these results under an additional condition on the mesh sizes in time and space.
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Gyöngy, I. Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II. Potential Analysis 11, 1–37 (1999). https://doi.org/10.1023/A:1008699504438
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DOI: https://doi.org/10.1023/A:1008699504438