Abstract / Description of output
We prove stability and convergence of a full discretization for a class of stochastic evolution equations with super-linearly growing operators appearing in the drift term. This is done using the recently developed tamed Euler method, which uses a fully explicit time stepping, coupled with a Galerkin scheme for the spatial discretization.
Original language | English |
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Pages (from-to) | 225-245 |
Journal | Stochastics and Partial Differential Equations: Analysis and Computations |
Volume | 4 |
Issue number | 2 |
Early online date | 16 Nov 2015 |
DOIs | |
Publication status | Published - 1 Jun 2016 |
Keywords / Materials (for Non-textual outputs)
- math.PR
- math.NA
- 60H15, 65M12
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Dive into the research topics of 'Convergence of tamed Euler schemes for a class of stochastic evolution equations'. Together they form a unique fingerprint.Profiles
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Sotirios Sabanis
- School of Mathematics - Personal Chair of Stochastic Analysis and Algorithms
Person: Academic: Research Active