Localization errors in solving stochastic partial differential equations in the whole space
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Journal Article
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Author
Gerencser, MateISTA;
Gyöngy, István
Corresponding author has ISTA affiliation
Department
Abstract
Cauchy problems with SPDEs on the whole space are localized to Cauchy problems on a ball of radius R. This localization reduces various kinds of spatial approximation schemes to finite dimensional problems. The error is shown to be exponentially small. As an application, a numerical scheme is presented which combines the localization and the space and time discretization, and thus is fully implementable.
Publishing Year
Date Published
2017-01-01
Journal Title
Mathematics of Computation
Publisher
American Mathematical Society
Volume
86
Issue
307
Page
2373 - 2397
ISSN
IST-REx-ID
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