Accelerated finite difference schemes for stochastic PDEs

Istvan Gyongy (Université d’Edimbourg, Ecosse)
mardi 17 mai 2011

Résumé : We give sufficient conditions under which the convergence of finite difference approximations in the space variable of the solution to the Cauchy problem for stochastic PDEs of parabolic type can be accelerated to any given order of convergence by Richardson’s method.

The talk is based on recent joint results with N.V. Krylov.


Cet exposé se tiendra en salle C20-13, 20ème étage, Université Paris 1, Centre Pierre Mendès-France, 90 rue de Tolbiac, 75013 Paris (métro : Olympiades).


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