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Implicit scheme for stochastic parabolic partial differential equations driven by space-time white noise. (English) Zbl 0893.60033
The paper considers the numerical approximation of stochastic parabolic partial differential equations driven by space time white noise. The authors use an implicit approximation scheme similar to the Rothe method. They show almost sure convergence when the nonlinear terms are Lipschitz continuous functions. Using Malliavin calculus, they prove convergence in probability when the drifts are only measurable.

MSC:
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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