OPTIMAL POINTWISE APPROXIMATION OF INFINITE-DIMENSIONAL ORNSTEIN–UHLENBECK PROCESSES

DOI10.1142/S0219493708002433zbMath1153.60371MaRDI QIDQ3548301

Klaus Ritter, Thomas Müller-Gronbach, Tim Wagner

Publication date: 11 December 2008

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

rate of convergenceoptimalitystochastic heat equationEuler schemesimulation experimentsadditive nuclear noisenon-asymptotic error bounds

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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