• Media type: Report; E-Book
  • Title: Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales
  • Contributor: Lang, Annika [Author]
  • Published: Seminar for Applied Mathematics, ETH Zurich, 2011-05
  • Published in: SAM Research Report, 2011-35
  • Language: English
  • DOI: https://doi.org/20.500.11850/571326; https://doi.org/10.3929/ethz-a-010400914
  • Keywords: Martingale ; Advection-diffusion equation ; Stochastic partial differential equation ; Zakai equation ; Mathematics ; Galerkin method ; Finite Element method
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  • Description: This work describes a Galerkin type method for stochastic partial differential equations of Zakai type driven by an infinite dimensional càdlàg square integrable martingale. Error estimates in the semidiscrete case, where discretization is only done in space, are derived in $L^p$ and almost sure senses. Simulations confirm the theoretical results.
  • Access State: Open Access
  • Rights information: In Copyright - Non-commercial Use Permitted