90
views
0
recommends
+1 Recommend
0 collections
    0
    shares
      • Record: found
      • Abstract: found
      • Article: found
      Is Open Access

      Higher order spatial approximations for degenerate parabolic stochastic partial differential equations

      Preprint

      Read this article at

          There is no author summary for this article yet. Authors can add summaries to their articles on ScienceOpen to make them more accessible to a non-specialist audience.

          Abstract

          We consider an implicit finite difference scheme on uniform grids in time and space for the Cauchy problem for a second order parabolic stochastic partial differential equation where the parabolicity condition is allowed to degenerate. Such equations arise in the nonlinear filtering theory of partially observable diffusion processes. We show that the convergence of the spatial approximation can be accelerated to an arbitrarily high order, under suitable regularity assumptions, by applying an extrapolation technique.

          Related collections

          Author and article information

          Journal
          10.1137/120893926
          1210.1198
          http://arxiv.org/licenses/nonexclusive-distrib/1.0/

          Comments

          Comment on this article