Date
Mon, 08 Oct 2012
Time
15:45 - 16:45
Location
Oxford-Man Institute
Speaker
ERIC JOSEPH HALL
Organisation
Edinburgh University

Abstract: We consider an implicit finite difference
scheme on uniform grids in time and space for the Cauchy problem for a second
order parabolic stochastic partial differential equation where the parabolicity
condition is allowed to degenerate. Such equations arise in the nonlinear
filtering theory of partially observable diffusion processes. We show that the
convergence of the spatial approximation can be accelerated to an arbitrarily
high order, under suitable regularity assumptions, by applying an extrapolation
technique.

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