An implicit Euler scheme with non-uniform time discretization for heat equations with multiplicative noise

BIT Numerical Mathematics

Volumn 47, Issue 2, 2007, Pages 393-418

  Müller Gronbach, Thomas ^a   Ritter, Klaus ^b  

^a UNIVERSITY OF HAGEN   (Germany)

^b DARMSTADT UNIVERSITY OF TECHNOLOGY   (Germany)

Author keywords

Implicit Euler scheme; Multiplicative noise; Non uniform time discretization; Optimality; Rate of convergence; Stochastic heat equation

Indexed keywords

EID: 34250880991     PISSN: 00063835     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10543-007-0129-9     Document Type: Article

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