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).