On finite difference schemes for degenerate stochastic parabolic partial differential equations


Finite difference approximations in the space variable for possibly degenerate stochastic parabolic partial differential equations are investigated. Sharp estimates for the rate of convergence are obtained, and sufficient conditions are presented under which the speed of approximations can be accelerated to any given order of convergence by Richardson’s method. The main theorems generalize some results of the author with N. V. Krylov. Bibliography: 10 titles.


Sobolev Embedding Minkowski Inequality Convergence Estimate Zero Initial Condition Unique Bounded Solution 
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Copyright information

© Springer Science+Business Media, Inc. 2011

Authors and Affiliations

  1. 1.School of Mathematics and Maxwell InstituteUniversity of Edinburgh King’s BuildingsEdinburghUnited Kingdom

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