Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales

作者：Lang Annika^*

来源：Journal of Computational and Applied Mathematics, 2012, 236(7): 1724-1732.

DOI：10.1016/j.cam.2011.10.003

• Finite element method
• Stochastic partial differential equation
• Martingale
• Galerkin method
• Zakai equation
• Advection-diffusion equation

This work describes a Galerkin type method for stochastic partial differential equations of Zakai type driven by an infinite dimensional cadlag square integrable martingale. Error estimates in the semidiscrete case, where discretization is only done in space, are derived in LP and almost sure senses. Simulations confirm the theoretical results.

• 出版日期2012-1