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| HAL : hal-00271302, version 1 |
| arXiv : 0804.1304 |
| Fiche détaillée |  Récupérer au format |
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| Mathematics of Computation / Mathematics of Computation 80, 273 (2011) 89-117 |
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| Weak approximation of stochastic partial differential equations: the non linear case |
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| Arnaud Debussche 1, 2 |
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| (2011) |
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| We study the error of the Euler scheme applied to a stochastic partial differential equation. We prove that as it is often the case, the weak order of convergence is twice the strong order. A key ingredient in our proof is Malliavin calculus which enables us to get rid of the irregular terms of the error. We apply our method to the case a semilinear stochastic heat equation driven by a space-time white noise. |
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| 1 : | Institut de Recherche Mathématique de Rennes (IRMAR) |
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CNRS : UMR6625 – Université de Rennes 1 – École normale supérieure de Cachan - ENS Cachan – Institut National des Sciences Appliquées (INSA) : - RENNES – Université de Rennes II - Haute Bretagne |
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| 2 : | IPSO (INRIA - IRMAR) |
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CNRS : UMR6074 – INRIA – Université de Rennes 1 |
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| Domaine | : | Mathématiques/Analyse numérique Mathématiques/Probabilités |
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| Weak order – stochastic heat equation – Euler scheme |
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| Liste des fichiers attachés à ce document : | ||||||||||
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| hal-00271302, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00271302 | |
| oai:hal.archives-ouvertes.fr:hal-00271302 | |
| Contributeur : Marie-Annick Guillemer | |
| Soumis le : Mardi 8 Avril 2008, 17:31:33 | |
| Dernière modification le : Lundi 6 Juin 2011, 15:55:03 | |
