Exponential moments for numerical approximations of stochastic partial differential equations

@article{Jentzen2016ExponentialMF,
  title={Exponential moments for numerical approximations of stochastic partial differential equations},
  author={A. Jentzen and Primoz Pusnik},
  journal={Stochastics and Partial Differential Equations: Analysis and Computations},
  year={2016},
  volume={6},
  pages={565-617}
}
  • A. Jentzen, Primoz Pusnik
  • Published 2016
  • Mathematics
  • Stochastics and Partial Differential Equations: Analysis and Computations
  • Stochastic partial differential equations (SPDEs) have become a crucial ingredient in a number of models from economics and the natural sciences. Many SPDEs that appear in such applications include non-globally monotone nonlinearities. Solutions of SPDEs with non-globally monotone nonlinearities are in nearly all cases not known explicitly. Such SPDEs can thus only be solved approximatively and it is an important research problem to construct and analyze discrete numerical approximation schemes… CONTINUE READING
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