Abstract
We extend Rothe's method of solving linear parabolic PDEs to the case of nonlinear SPDEs driven by space-time white noise. When the nonlinear terms are Lipschitz functions we prove almost sure convergence of the approximations uniformly in time and space. When the nonlinear drift term is only measurable we obtain the convergence in probability, by using Malliavin calculus.
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Gyöngy, I., Nualart, D. Implicit Scheme for Stochastic Parabolic Partial Diferential Equations Driven by Space-Time White Noise. Potential Analysis 7, 725–757 (1997). https://doi.org/10.1023/A:1017998901460
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DOI: https://doi.org/10.1023/A:1017998901460