Session A7 - Stochastic Computation
July 12, 16:00 ~ 16:25 - Room B2
Existence, uniqueness, and numerical approximation for stochastic Burgers equations
Université de Lille 1, France - firstname.lastname@example.org
The talk is about a recently introduced explicit full-discrete numerical approximation scheme for some stochastic partial differential equations with additive noise and non-globally Lipschitz continuous nonlinearities. The scheme allows to prove simultaneously existence and uniqueness of the mild solution and strong convergence of the numerical approximation for some classes of equations, e.g. the stochastic Burgers equation with additive white noise.
Joint work with Arnulf Jentzen and Diyora Salimova (ETH Zürich).