Approximation Schemes for Viscosity Solutions of Fully Nonlinear Stochastic Partial Differential Equations

摘要

We develop a method for constructing convergent approximation schemes for viscosity solutions of fully nonlinear stochastic partial differential equations. Our results apply to explicit finite difference schemes and Trotter-Kato splitting formulas, and error estimates are found for schemes approximating solutions of stochastic Hamilton-Jacobi equations.