Approximation of SPDEs with Holder Continuous Drifts

2017/03/29 by Jianhai Bao, Xing Huang, Bao, Jianhai +3
Economics, Econometrics and Finance · Engineering · Mathematics · #Advanced Control Systems Optimization #Capital Investment and Risk Analysis #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #math.PR

paper · pdf · doi:10.48550/arxiv.1703.09931

16pages

arxiv created 2017/03/29 · openalex publication_date 2017/03/29 · arxiv updated 2017/03/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, exploiting the regularities of the corresponding Kolmogorov equations involved we investigate strong convergence of exponential integrator scheme for a range of stochastic partial differential equations, in which the drift term is Hölder continuous, and reveal the rate of convergence.

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