Weak Convergence Rates for Euler-Type Approximations of Semilinear Stochastic Evolution Equations with Nonlinear Diffusion Coefficients

@article{Jentzen2015WeakCR,
  title={Weak Convergence Rates for Euler-Type Approximations of Semilinear Stochastic Evolution Equations with Nonlinear Diffusion Coefficients},
  author={A. Jentzen and Ryan Kurniawan},
  journal={Foundations of Computational Mathematics},
  year={2015},
  pages={1-92}
}
  • A. Jentzen, Ryan Kurniawan
  • Published 2015
  • Mathematics
  • Foundations of Computational Mathematics
  • Strong convergence rates for time-discrete numerical approximations of semilinear stochastic evolution equations (SEEs) with smooth and regular nonlinearities are well understood in the literature. Weak convergence rates for time-discrete numerical approximations of such SEEs have, loosely speaking, been investigated since 2003 and are far away from being well understood: roughly speaking, no essentially sharp weak convergence rates are known for time-discrete numerical approximations of… CONTINUE READING
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