Abstract
An implicit Euler–Maruyama method with non-uniform step-size applied to a class of stochastic partial differential equations is studied. A spectral method is used for the spatial discretization and the truncation of the Wiener process. A discrete analogue of maximal $L^2$-regularity of the scheme and the discretised stochastic convolution is established, which has the same form as their continuous counterpart.
Citation
Yoshihito Kazashi. "Discrete maximal regularity of an implicit Euler–Maruyama scheme with non-uniform time discretisation for a class of stochastic partial differential equations." Electron. Commun. Probab. 23 1 - 14, 2018. https://doi.org/10.1214/18-ECP130
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