Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type

作者：Lang Annika^*; Chow Pao Liu; Potthoff Juergen

来源：Stochastics: An International Journal of Probability and Stochastic Processes , 2010, 82(3): 315-326.

DOI：10.1080/17442501003653497

• Milstein scheme
• stochastic partial differential equations
• Zakai equation
• numerical scheme

A semidiscrete Milstein scheme for stochastic partial differential equations of Zakai type on a bounded domain of R(d) is derived. It is shown that the order of convergence of this scheme is 1 for convergence in mean square sense. For almost sure convergence, the order of convergence is proved to be 1 - epsilon for any epsilon > 0.

• 出版日期2010