Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales
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Author
Date
2011-05Type
- Report
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yes
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Abstract
This work describes a Galerkin type method for stochastic partial differential equations of Zakai type driven by an infinite dimensional càdlàg square integrable martingale. Error estimates in the semidiscrete case, where discretization is only done in space, are derived in $L^p$ and almost sure senses. Simulations confirm the theoretical results. Show more
Permanent link
https://doi.org/10.3929/ethz-a-010400914Publication status
publishedExternal links
Journal / series
SAM Research ReportVolume
Publisher
Seminar for Applied Mathematics, ETH ZurichSubject
Finite Element method; Stochastic partial differential equation; Martingale; Galerkin method; Zakai equation; Advection-diffusion equationOrganisational unit
02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics
03435 - Schwab, Christoph / Schwab, Christoph
Funding
247277 - Automated Urban Parking and Driving (EC)
Related publications and datasets
Is previous version of: http://hdl.handle.net/20.500.11850/43348
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ETH Bibliography
yes
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