Work

Rate of Convergence of Implicit Approximations for Stochastic Evolution Equations

Year: 2007

Type: book-chapter

Abstract: . Stochastic evolution equations in Banach spaces with unbounded nonlinear drift and diffusion operators are considered. Under some regularity condition assumed for the solution, the rate of convergence of implicit Euler ap-proximations is estimated under strong monotonicity and Lipschitz conditions. The results are applied to a class of quasilinear stochastic PDEs of parabolic type. 1.

Source: Interdisciplinary mathematical sciences

DOI: 10.1142/9789812770639_0011

Authors: István Gyöngy, Annie Millet

Institutions: Maxwell Institute for Mathematical Sciences, University of Edinburgh

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1835211804

FWCI: 6.192

Cites: 14

Cited by: 28

Related to: 10