Pathwise Holder convergence of the implicit Euler scheme for semi-linear SPDEs with multiplicative noise

Pathwise Holder convergence of the implicit Euler scheme for semi-linear SPDEs with multiplicative noise

Mon, 14/05/2012
15:45 		JAN VAN NEERVAN (Delft University of Technology) Stochastic Analysis Seminar Add to calendar Oxford-Man Institute
Pathwise Holder convergence of the implicit Euler scheme for semi-linear SPDEs with multiplicative noise

Pathwise Holder convergence with optimal rates is proved for the implicit Euler scheme associated with semilinear stochastic evolution equations with multiplicative noise. The results are applied to a class of second order parabolic SPDEs driven by space-time white noise. This is joint work with Sonja Cox.