A numerical approximation of parabolic stochastic partial differential equations driven by a Poisson random measure

被引：0

作者：

Erika Hausenblas

Iuliana Marchis

机构：

[1] University Salzburg,Department of Mathematics

[2] Babes-Bolyai University,Department of Mathematics and Computer Science

来源：

BIT Numerical Mathematics | 2006年 / 46卷

关键词：

stochastic evolution equations; stochastic partial differential equations; numerical approximation; time discretization; space discretization;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

The paper deals with SPDEs driven by Poisson random measures in Banach spaces and its numerical approximation. We investigate the accuracy of space and time approximation. As the space approximation we consider spectral methods and as time approximation the implicit Euler scheme and the explicit Euler scheme.

引用

共 50 条

[1] A numerical approximation of parabolic stochastic partial differential equations driven by a Poisson random measure
Hausenblas, Erika
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BIT NUMERICAL MATHEMATICS, 2006, 46 (04) : 773 - 811
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[10] An averaging principle for neutral stochastic functional differential equations driven by Poisson random measure
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