On implicit and explicit discretization schemes for parabolic SPDEs in any dimension
Annie Millet, Pierre-Luc Morien
Abstract
We study the speed of convergence of the explicit and implicit space-time discretization schemes of the solution u(t,x) to a parabolic partial differential equation in any dimension perturbed by a space-correlated Gaussian noise. The coefficients only depend on u(t,x) and the influence of the correlation on the speed is observed.
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