On discretization schemes for stochastic evolution equations

Istvan Gyöngy (1) , Annie Millet (2, 3, 4)

1 School of Mathematics - University of Edinburgh
2 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
3 SAMOS - Statistique Appliquée et MOdélisation Stochastique
4 MATISSE - UMR 8595 - Modélisation Appliquée, Trajectoires Institutionnelles et Stratégies Socio-Économiques

Stochastic evolutional equations with monotone operators are considered in Banach spaces. Explicit and implicit numerical schemes are presented. The convergence of the approximations to the solution of the equations is proved.

Mots clés: Stochastic evolution equations; Monotone operators; coercivity; finite elements

Domaines: Probabilités [math.PR]

Istvan Gyöngy, Annie Millet. On discretization schemes for stochastic evolution equations. Potential Analysis, 2005, 23, pp.99-134. ⟨10.1007/s11118-004-5393-6⟩. ⟨hal-00111078⟩