Exponential moments for numerical approximations of stochastic partial differential equations

Understand

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 which converge with positive strong convergence rates to the solutions of such infinite dimensional SPDEs.