2 research outputs found
Localization errors in solving stochastic partial differential equations in the whole space
Cauchy problems with SPDEs on the whole space are localized to Cauchy
problems on a ball of radius . This localization reduces various kinds of
spatial approximation schemes to finite dimensional problems. The error is
shown to be exponentially small. As an application, a numerical scheme is
presented which combines the localization and the space and time
discretisation, and thus is fully implementable.Comment: Some details added; published versio