A finite difference scheme for conservation laws driven by Levy noise

@article{Koley2016AFD,
  title={A finite difference scheme for conservation laws driven by Levy noise},
  author={Ujjwal Koley and Ananta K. Majee and Guy Vallet},
  journal={arXiv: Analysis of PDEs},
  year={2016},
  pages={998-1050}
}
  • Ujjwal Koley, Ananta K. Majee, Guy Vallet
  • Published 2016
  • Mathematics
  • arXiv: Analysis of PDEs
  • In this paper, we analyze a semi-discrete finite difference scheme for a conservation laws driven by a homogeneous multiplicative Levy noise. Thanks to BV estimates, we show a compact sequence of approximate solutions, generated by the finite difference scheme, converges to the unique entropy solution of the underlying problem, as the spatial mesh size \Dx-->0. Moreover, we show that the expected value of the L^1-difference between the approximate solution and the unique entropy solution… CONTINUE READING
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